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Document type:
Masterarbeit 
Author(s):
Rauch, Johannes 
Title:
Pricing of Commodity Derivatives and Derivatives on Commodity Indices 
Abstract:
The major goal of this research project is the pricing of derivatives on single commodities and commodity indices. Commodities and their derivatives gain more and more interest as an alternative asset class, offering high returns and diversification potential in combination with other asset classes. First of all an exhaustive overview of existing models for pricing commodity related instruments is given. Two of them, namely the mean-reversion and the local volatility model, are discussed in deta...    »
 
Advisor:
Dr. Bernhard Brunner, Mikhail Krayzler 
Referee:
Prof. Dr. Rudi Zagst 
Year:
2010 
Language:
en 
Notes:
Elitestudiengang FIM 
University:
Technische Universität München 
Faculty:
Fakultät für Mathematik 
Format:
Text