Cuadernos del CIPE No. 40.
The Ornstein - Uhlenbeck process. An introduction for commodity modelling with smeextensions. An example for the London Cocoa Net Spot Convenience Yield
Sinopsis del libro
One of the canonical models for commodity international financial markets is known as the Gibson and Schwartz (1990) model. In this model, a second variable different from the Standard Spot Price of the commodity, known as the Net Spot Convenience Yield, is modelled through an Ornstein-Uhlenbeck process. Based on…
Publicación2017
IdiomaEspañol
Extensión40 páginas
ISBN1794771540
SKUIMP1794771540
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