Tipo: Revista / Journal
Encuadernación / Binding: Tapa blanda / Paperback
Tamaño / Size: 19 x 23 cm
Páginas / Pages: 40
Resumen / Summary:
Autor / Author: Carlos Armando Mejía Vega
Editorial / Publisher: Universidad Externado de Colombia
Entrega / Delivery : Nacional / International
Envio desde / Ships from: Colombia
Condición / Condition: Nuevo / New
Tabla de contenido / Table of contents:
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
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