Spread Option Valuation in Ornstein-Uhlenbeck Type SV Models
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Von Händler/Antiquariat, AHA-BUCH GmbH [51283250], Einbeck, Germany.
This item is printed on demand - Print on Demand Titel. Neuware - This work (based on a thesis submitted and presented at TU Graz in partial fulfillment of the requirements for the degree of a Diplom-Ingenieur) examines the valuation problem for Spread Options in market models, where the volatility process is of the Ornstein-Uhlenbeck type. An appropriate formulation of these models in a multidimensional setting requires a matrix subordination approach, i.e., the Ornstein-Uhlenbeck process is driven by a matrix-valued Lévy process, whose increments only take values in the cone of positive semidefinite symmetric matrices. 112 pp. Englisch.

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buecher.de GmbH & Co. KG, [1].
This work (based on a thesis submitted and presented at TU Graz in partial fulfillment of the requirements for the degree of a Diplom-Ingenieur) examines the valuation problem for Spread Options in market models, where the volatility process is of the Ornstein-Uhlenbeck type. An appropriate formulation of these models in a multidimensional setting requires a matrix subordination approach, i.e., the Ornstein-Uhlenbeck process is driven by a matrix-valued Lévy process, whose increments only take values in the cone of positive semidefinite symmetric matrices.2015. 112 S. 220 mmVersandfertig in 3-5 Tagen, Softcover.

Von Händler/Antiquariat, The Book Depository EURO [60485773], London, United Kingdom.
Language: English Brand New Book ***** Print on Demand *****.This work (based on a thesis submitted and presented at TU Graz in partial fulfillment of the requirements for the degree of a Diplom-Ingenieur) examines the valuation problem for Spread Options in market models, where the volatility process is of the Ornstein-Uhlenbeck type. An appropriate formulation of these models in a multidimensional setting requires a matrix subordination approach, i.e., the Ornstein-Uhlenbeck process is driven by a matrix-valued Levy process, whose increments only take values in the cone of positive semidefinite symmetric matrices.

Lieferung aus: Deutschland, zzgl. Versandkosten.
This work (based on a thesis submitted and presented at TU Graz in partial fulfillment of the requirements for the degree of a Diplom-Ingenieur) examines the valuation problem for Spread Options in market models, where the volatility process is of the Ornstein-Uhlenbeck type. An appropriate formulation of these models in a multidimensional setting requires a matrix subordination approach, i.e., the Ornstein-Uhlenbeck process is driven by a matrix-valued Lévy process, whose increments only take values in the cone of positive semidefinite symmetric matrices.

Lieferung aus: Schweiz, Lieferzeit: 2 Tage, zzgl. Versandkosten.
This work (based on a thesis submitted and presented at TU Graz in partial fulfillment of the requirements for the degree of a Diplom-Ingenieur) examines the valuation problem for Spread Options in market models, where the volatility process is of the Ornstein-Uhlenbeck type. An appropriate formulation of these models in a multidimensional setting requires a matrix subordination approach, i.e., the Ornstein-Uhlenbeck process is driven by a matrix-valued Lévy process, whose increments only take values in the cone of positive semidefinite symmetric matrices.

Lieferung aus: Deutschland, Versandkostenfrei.
Spread Option Valuation in Ornstein-Uhlenbeck Type SV Models: This work (based on a thesis submitted and presented at TU Graz in partial fulfillment of the requirements for the degree of a Diplom-Ingenieur) examines the valuation problem for Spread Options in market models, where the volatility process is of the Ornstein-Uhlenbeck type. An appropriate formulation of these models in a multidimensional setting requires a matrix subordination approach, i.e., the Ornstein-Uhlenbeck process is driven by a matrix-valued Lévy process, whose increments only take values in the cone of positive semidefinite symmetric matrices. Englisch, Taschenbuch.