Krühner Paul (11 results)
- Softcover
Seller: Buchpark, Trebbin, GermanyBuchpark
Contact seller5-star sellerCondition: Used
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Condition: Hervorragend. Zustand: Hervorragend | Seiten: 260 | Sprache: Englisch | Produktart: Bücher | This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and co…mmodity markets. In this book, the well-known Heath¿Jarrow¿Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipovi¿ space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing. This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.
- Softcover
Seller: Books Puddle, New York, NY, U.S.A.Books Puddle
Contact seller4-star sellerCondition: New
US$ 211.98
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Condition: New. pp. IX + 250.
- Hardcover
Seller: Books Puddle, New York, NY, U.S.A.Books Puddle
Contact seller4-star sellerCondition: New
US$ 213.94
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Condition: New.
- Hardcover
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
Contact seller5-star sellerCondition: New
US$ 163.19
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Buch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets.In this book,… the well-known Heath-Jarrow-Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipovic space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing.This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.
- Softcover
Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH
Contact seller5-star sellerCondition: New
US$ 170.60
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Taschenbuch. Condition: Neu. Druck auf Anfrage Neuware - Printed after ordering - This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity markets.In thi…s book, the well-known Heath-Jarrow-Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipovic space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing.This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable.
- Softcover
Seller: BUCHSERVICE / ANTIQUARIAT Lars Lutzer, Wahlstedt, GermanyBUCHSERVICE / ANTIQUARIAT Lars Lutzer
Contact seller5-star sellerCondition: Used - Very good
US$ 281.48
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Softcover. Condition: gut. 2024. Stochastic Models for Prices Dynamics in Energy and Commodity Markets In deutscher Sprache. pages.
Language: English
Published by Springer International Publishing Nov 2023 2023
- Hardcover
- Print on Demand
Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, GermanyBuchWeltWeit Ludwig Meier e.K.
Contact seller5-star sellerCondition: New
US$ 163.19
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Buch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This monograph presents a theory for random field models in time and space, viewed as stochastic processes with values in a Hilbert space, to model the stochastic dynamics of forward and futures prices in energy, power, and commodity marke…ts.In this book, the well-known Heath-Jarrow-Morton approach from interest rate theory is adopted and extended into an infinite-dimensional framework, allowing for flexible modeling of price stochasticity across time and along the term structure curve. Various models are introduced based on stochastic partial differential equations with infinite-dimensional Lévy processes as noise drivers, emphasizing random fields described by low-dimensional parametric covariance functions instead of classical high-dimensional factor models. The Filipovic space, a separable Hilbert space of Sobolev type, is found to be a convenient state space for the dynamics of forward and futures term structures. The monograph provides a classification of important operators in this space, covering covariance operators and the stochastic modeling of volatility term structures, including the Samuelson effect. Fourier methods are employed to price many derivatives of interest in energy, power, and commodity markets, and sensitivity 'delta' expressions can be derived. Additionally, the monograph covers forward curve smoothing, the connection between forwards with fixed delivery and delivery period, as well as the classical theory of forward and futures pricing.This monograph will appeal to researchers and graduate students interested in mathematical finance and stochastic analysis applied in the challenging markets of energy, power, and commodities. Practitioners seeking sophisticated yet flexible and analytically tractable risk models will also find it valuable. 260 pp. Englisch.
- Softcover
- Print on Demand
Seller: moluna, Greven, Germanymoluna
Contact seller5-star sellerCondition: New
US$ 139.17
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt.
- Hardcover
- Print on Demand
Seller: moluna, Greven, Germanymoluna
Contact seller5-star sellerCondition: New
US$ 139.17
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Condition: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Provides a novel infinite-dimensional HJM-approach to forward and futures pricingDescribes in detail a flexible model to describe the stochasticity in temporal and spatial dynamicsDerives expressions for options and t…heir greeks using Fouri.
- Hardcover
- Print on Demand
Seller: Majestic Books, Hounslow, United KingdomMajestic Books
Contact seller4-star sellerCondition: New
US$ 224.92
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Condition: New. Print on Demand.
- Hardcover
- Print on Demand
Seller: Biblios, frankfurt am main, HESSE, GermanyBiblios
Contact seller4-star sellerCondition: New
US$ 236.58
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Condition: New. PRINT ON DEMAND.
