Detalls del llibre
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.
Llegir més - Enquadernació Butxaca
- Autor/a Federico Daniel Platania
- ISBN13 9788486116965
- ISBN10 8486116961
- Pàgines 54
- Any Edició 2016
- Fecha de publicación 11/01/2016
- Idioma Anglès
- Col.lecció DIFUNDE
- Alto 240 mm
- Ancho 175 mm
- Peso 180 g
Ressenyes i valoracions
Valuation of derivative assets under cyclical mean-reversion processes for spot prices. (Anglès)
- De
- Federico Daniel Platania
- |
- Editorial Universidad de Cantabria (2016)
- 9788486116965



