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

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

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

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Código17947715-42
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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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