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Working paper
In: Financial Review, Band 54, Heft 1, S. 165-199
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In: Robert H. Smith School Research Paper No. RHS 2747131
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Working paper
In: Journal of Energy Markets, Forthcoming
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In: Algorithmic Finance 2013, 2:2, 127-139
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In: Lecture notes in economics and mathematical systems 630
The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives. For this class of assets, convenience yield effects lead to mean-reversion under the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic seasonality effects. Another focus is on numerical algorithms to calculate the Fourier integral as well as to integrate systems of ordinary differential equations
In: Lecture notes in economics and mathematical systems, 630
The topic of this book is the development of pricing formulae for European style derivatives on assets with mean-reverting behavior, especially commodity derivatives. For this class of assets, convenience yield effects lead to mean-reversion under the risk-neutral measure. Mean-reversion in the log-price process is combined with other stochastic factors such as stochastic volatility, jumps in the underlying and the price process and a stochastic target level as well as with deterministic seasonality effects. Another focus is on numerical algorithms to calculate the Fourier integral as well as to integrate systems of ordinary differential equations.
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Working paper
In: Review of financial economics: RFE, Band 20, Heft 1, S. 22-27
ISSN: 1873-5924
AbstractThis study uses a powerful nonparametric block bootstrap method and fresh data to examine the unresolved issue of mean reversion in stock returns. The results show that both large and small company stocks experienced significant mean reversion in returns for periods of 1 through 5 years during 1926–1966. In 1967–2007, there was significant mean reversion in 5‐year returns of large company stocks, and 1‐, 4‐, and 5‐year returns of small company stocks. The findings indicate that, although mean reversion in stock returns has weakened in recent decades, it persists, particularly for small company stocks.
In: IEEE Trans. on Signal Processing, Band 66, Heft 9, S. 2342-2357
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In: Journal of Monetary Economics, Band 37, Heft 1, S. 163-173
In: East Asian Economic Review Vol. 20, No. 2 (June 2016) 169-190
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Working paper
In: Decision analysis: a journal of the Institute for Operations Research and the Management Sciences, INFORMS, Band 8, Heft 3, S. 220-232
ISSN: 1545-8504
Two-factor stochastic processes have been developed to more accurately describe the intertemporal dynamics of variables such as commodity prices. In this paper we develop an approach for modeling these types of stochastic processes in discrete time as two-dimensional binomial sequences. This approach facilitates the numerical solution of dynamic optimization problems such as investment decision making under uncertainty and option valuation related to commodities. We implement this approach in a two-dimensional lattice format, apply it to two hypothetical valuation problems discussed by Schwartz and Smith, and compare the results to those from simulation- and dynamic-programming-based methods.
In: The quarterly review of economics and finance, Band 38, Heft 3, S. 579-598
ISSN: 1062-9769
In: Journal of economics, Band 110, Heft 1, S. 5-23
ISSN: 1617-7134