Gaussian factor models futures and forward prices

DOI10.1093/imaman/dpm019zbMath1153.91424OpenAlexW2128158128MaRDI QIDQ5432707

Cody Blaine Hyndman

Publication date: 18 December 2007

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/71fcb4e26a421b3a37c01af665a233d910d29353

zbMATH Keywords

stochastic flowsfactor modelsfutures priceforward priceGaussian state variables

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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