Shopping Cart

Valuation of derivative assets under cyclical mean-reversion processes for spot prices.

Autor Federico Daniel Platania

Editorial UNIVERSIDAD DE CANTABRIA

Valuation of derivative assets under cyclical mean-reversion processes for spot prices.
-5% disc.    7,00€
6,65€
Save 0,35€
Available online, receive it in 24/48h working days

Do you want to pick it up at the bookstore?
Free shipping on orders over 19€
Mainland Spain
FREE shipping from €19

to mainland Spain

24/48h shipping

5% discount on all books

FREE pickup at the bookstore

Come and be surprised!

  • Publisher UNIVERSIDAD DE CANTABRIA
  • ISBN13 9788486116965
  • ISBN10 8486116961
  • Type Book
  • Pages 54
  • Collection DIFUNDE
  • Published 2016
  • Language English
  • Bookbinding Rustic

Valuation of derivative assets under cyclical mean-reversion processes for spot prices.

Autor Federico Daniel Platania

Editorial UNIVERSIDAD DE CANTABRIA

-5% disc.    7,00€
6,65€
Save 0,35€
Available online, receive it in 24/48h working days

Do you want to pick it up at the bookstore?
Free shipping on orders over 19€
Mainland Spain
FREE shipping from €19

to mainland Spain

24/48h shipping

5% discount on all books

FREE pickup at the bookstore

Come and be surprised!

Book Details

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.