Masterclass with Deutsche Bank: A two-factor mean-reverting model - The authors develop a two-factor mean-reverting model for crude oil that is then applied to various exotic derivatives valuation problems.
| Year of publication: |
2002
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|---|---|
| Authors: | Beaglehole, David ; Chebanier, Alain |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 15.2002, 7, p. 65-69
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