Descargar EBOOK Valuation of derivative assets under cyclical mean-reversion processes for spot autor FEDERICO DANIEL PLATANIA gratis online


Descargar EBOOK Valuation of derivative assets under cyclical mean-reversion processes for spot autor FEDERICO DANIEL PLATANIA gratis online Título Del Libro: Valuation of derivative assets under cyclical mean-reversion processes for spot
El editor: UNIVERSIDAD DE CANTABRIA
ISBN 13: 9788486116965
Idioma del libro: ES
El autor del libro: FEDERICO DANIEL PLATANIA
El formato de libro: PDF, Epub, Doc, Txt
El tamaño del archivo: 13.36 Mb

Read full description of the books:



This book studies the stochastic behaviour of interest rates and commodity prices, extending the existing literature by allowing the underlying state variable to capture any possible seasonal or cyclical behaviour. In the first chapter, we propose a new model for the term structure of interest rates assuming that the instantaneous spot rate converges to a cyclical long-term level characterized by a Fourier series. Under this framework, we derive analytical expressions for the valuation of bonds and several interest rate derivative assets. The second chapter introduces a new square-root model for the yield curve where both the mean reversion level and the volatility are described by a harmonic oscillator. This model specification incorporates a good deal of flexibility preserving the analytical tractability. In the final chapter, we present a model for the logarithm of the commodity spot price with a reversion to a time dependent long-run level described by a Fourier series, obtaining closed-form expressions for a wide range of derivatives and study the fitting performance to market data.


El autor es FEDERICO DANIEL PLATANIA escribió un interesante libro titulado Valuation of derivative assets under cyclical mean-reversion processes for spot. El libro de la publicó la editorial UNIVERSIDAD DE CANTABRIA, y en este momento por el libro de Valuation of derivative assets under cyclical mean-reversion processes for spot PDF ISBN (9788486116965) es necesario pagar 7.00 euros por copia. Sin embargo, en nuestro sitio, Le ofrecemos descargar el libro Valuation of derivative assets under cyclical mean-reversion processes for spot EPUB y otros formatos totalmente gratis para leer en el ordenador u otros dispositivos electrónicos. Con nosotros usted puede encontrar otros libros del autor FEDERICO DANIEL PLATANIA, que te pueden gustar, igual que el libro de Valuation of derivative assets under cyclical mean-reversion processes for spot EPUB. Únete a nuestra comunidad y recibe gratis el libro de Valuation of derivative assets under cyclical mean-reversion processes for spot EPUB y otros, no menos interesantes de la edición.




Descargar en PDF Valuation of derivative assets under cyclical mean-reversion processes for spot PDF
Descargar en EPUB Valuation of derivative assets under cyclical mean-reversion processes for spot EPUB
Descargar en DOC Valuation of derivative assets under cyclical mean-reversion processes for spot DOC
Descargar en TXT Valuation of derivative assets under cyclical mean-reversion processes for spot TXT



Última descarga: días atrás

Reseñas de libro Valuation of derivative assets under cyclical mean-reversion processes for spot


Sergio

Un aspecto interesante desde el otro lado

Marcos

completa mierda

Noa

Es posible, es necesario y vale la pena leer

David

Rara vez los libros hacen echar de mí una lágrima, pero este pudo.

Claudia

A la lectura sin duda lo RECOMIENDO!!!




Añadir comentario




Descargar EBOOK Valuation of derivative assets under cyclical mean-reversion processes for spot autor FEDERICO DANIEL PLATANIA gratis online

PDF: valuation-of-derivative-assets-under-cyclical-mean-reversion-processes-for-spot.pdf Valuation of derivative assets under cyclical mean-reversion processes for spot PDF
EPUB: valuation-of-derivative-assets-under-cyclical-mean-reversion-processes-for-spot.epub Valuation of derivative assets under cyclical mean-reversion processes for spot EPUB
DOC: valuation-of-derivative-assets-under-cyclical-mean-reversion-processes-for-spot.doc Valuation of derivative assets under cyclical mean-reversion processes for spot DOC
TXT: valuation-of-derivative-assets-under-cyclical-mean-reversion-processes-for-spot.txt Valuation of derivative assets under cyclical mean-reversion processes for spot TXT