Pricing of Derivatives on Mean-Reverting Assets

  • Björn Lutz

Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 630)

Table of contents

  1. Front Matter
    Pages i-xviii
  2. Björn Lutz
    Pages 1-7
  3. Björn Lutz
    Pages 9-16
  4. Björn Lutz
    Pages 17-53
  5. Björn Lutz
    Pages 55-79
  6. Björn Lutz
    Pages 81-99
  7. Björn Lutz
    Pages 115-126
  8. Björn Lutz
    Pages 127-131
  9. Back Matter
    Pages 133-137

About this book


The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives. For this class of assets, convenience yield effects lead to mean-reversion under the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic seasonality effects. Another focus is on numerical algorithms to calculate the Fourier integral as well as to integrate systems of ordinary differential equations.


Derivative Pricing Fourier Inversion Incomplete Markets Mean-Reversion Numerical Integration of ODE Systems Volatility algorithms

Authors and affiliations

  • Björn Lutz
    • 1
  1. 1.Management GmbHHauck & Aufhäuser AssetMünchenGermany

Bibliographic information

  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 2010
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Business and Economics
  • Print ISBN 978-3-642-02908-0
  • Online ISBN 978-3-642-02909-7
  • Series Print ISSN 0075-8442
  • Buy this book on publisher's site
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