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

Factor model calibration through the maximum log-likelihood method: examples with gold

- Autor: Carlos Armando Mejía Vega

Descripción›

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 '.

Tipo 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

Clasificación temática›

Especificaciones por formato:

Ayuda

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

Factor model calibration through the maximum log-likelihood method: examples with gold

Información general

Atención al cliente