Cuadernos del CIPE No.42 The Brennan and Schwartz (1985).

Cuadernos del CIPE No.42 The Brennan and Schwartz (1985).

  1. Nombre
    • Carlos Armando Mejía Vega

    • Información de autor disponible próximamente.


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 
  • BUS017000 NEGOCIOS ECONÓMICOS > Finanzas corporativas > General
  • KFFH
  • Finanzas, gobierno y relaciones internacionales