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An introduction to the calibration of the Schwartz (1997) reduced-form, no-arbitrage two-factor model
- Año de edición 2018
COP $ 29.000
COP $ 22.000
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This book presents an introduction to the calibration (estimation of parameters) of the Schwartz (1997) reduced-forrn, no-arbirrage two factor model by applying a combination of the Kalman filter and the maximum log-likelihood method knows as the predictive error decomposition. This book is written in such a way that a reader with primary tools in stochastic calculus and optimization (mainly the maximum log-Iikelihood method) can find the necessary tools for doing its reading without problems and understand the essential elements of the methodology.
This book presents an introduction to the calibration (estimation of parameters) of the Schwartz (1997) reduced-forrn, no-arbirrage two factor model by applying a combination of the Kalman filter and the maximum log-likelihood method knows as the predictive error decomposition. This book is written in such a way that a reader with primary tools in stochastic calculus and optimization (mainly the maximum log-Iikelihood method) can find the necessary tools for doing its reading without problems and understand the essential elements of the methodology.
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FormatoImpreso
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EstadoNuevo
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Isbn978-958-790-028-6
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Peso0.16 kg.
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Tamaño14 x 21 cm.
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Número de páginas144
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Año de edición2018
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Edición1
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EncuadernaciónRústica
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ReferenciaUEX11085
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Colección
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Código de barras9789587900286