Calibration and Model Uncertainty of a Two-Factor Mean-Reverting Diffusion Model for Commodity Prices
With the development of various derivative instruments and index products, commodities have become a distinct asset class which can offer enhanced diversification benefits to the traditional asset allocation of stocks and bonds. In this thesis, we begin by discussing some of the key properties of co...
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| Language: | en |
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2013
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| Online Access: | http://hdl.handle.net/10012/7758 |