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Cuadernos del CIPE No.42 The Brennan and Schwartz (1985). Factor model calibration through the maximum log-likelihood method: examples with gold

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Cuadernos del CIPE No.42 The Brennan and Schwartz (1985). Factor model calibration through the maximum log-likelihood method: examples with gold

U. Externado de Colombia
Mira otros U. Externado de Colombia articulos

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COP $ 7.000

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Autor: Carlos Armando Mejía Vega

Editorial: U. Externado de Colombia

U. Externado de Colombia

Año de Edición: 2017

2017

Idioma: Español

Formato: Revista

Número de páginas: 40

ISSN: 17947715-42

17947715-42
The Brennan and SchwarLz (1985) Factor Model (from now on thw Brennan and SchwarLz (198,5) model )was the first model proposed for modelling the dynamic of the Standard Spot Price of a commodity (specifically of copper) over time [9]. It was proposed by the economist Michael Brennan (Figure 1). and ...
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The Brennan and SchwarLz (1985) Factor Model (from now on thw Brennan and SchwarLz (198,5) model )was the first model proposed for modelling the dynamic of the Standard Spot Price of a commodity (specifically of copper) over time [9]. It was proposed by the economist Michael Brennan (Figure 1). and the engineer Eduardo Schwartz (Figure 2) in a paper published in The Journal of Business in April 19851. It was probably inspired by the Black and Scholes (1973) model \'. 
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Editor / MarcaU. Externado de Colombia
Año de Edición2017
Número de Páginas40
Idioma(s)Español
TerminadoTapa Rústica
Alto y ancho19 x 23 cm
Peso0.0800
Tipo Productolibro
Autor

Carlos Armando Mejía Vega

información no disponible.

Tabla de Contenido


Prologue 

Introduction 

Chapter 1. Calibration process by using only the Standard Spot Price 

1.1 Solution part I. Intuition as a deterministic process

1.2 Solution part II. Definition of the dependent process and partial derivatives

1.3 Solution part III. Itó's lemma application 

1.4 Solution part IV. Integration from s to t, where 0 < s < t

1.5 Gaussian property 

1.6 Discretization process 

1.7 Máximum Log-Likelihood Method

1.7.1 Log- Likelihood function

1.7.2 First order conditions 

Chapter 2. Calibration process by using only one Generic Position

2.1 Solution part I. Definition of the dependent process and partial derivatives
 
2.2 Solution part II. First Itó's lemma application

2.3 Solution part II. Second Itó's lemma application 

2.4 Solution part IV. Integration from s to t, where 0 < s; < t 

2.5 Gaussian property 

2.6 Discretization process 

2.7 Máximum Log-Likelihood Method 

2.7.1 Log-Likelihood function 

2.7.2 First order conditions

Chapter 3. Examples with Gold

3.1 Gold 

3.2 Calibration process by using the Standard Spot Price 

3.2.1 Gold Standard Spot Price 

3.2.2 Parameters 

3.3 Calibration process by using only the First Generic Position

3.3.1 Thc COMEX Gold Futures

3.3.2 Parameters 

Bibliography

Reseñas