In the case that the underlying asset will be a commodity,electricty for example, this phenomenon remains?

In the case that the underlying asset will be a commodity,electricty for example, this phenomenon remains?

<t>Let it be F a forward contract and the underlying asset is a financial asset. Well, the volatility of this contract coverge to zero when maturity approach? I mean, if the assumption of theory of expectations is true, then the forward price converges to future expected spot price and the volatilit...

<t>The OLS, per se, doesn't need normality of residuals but if you have to do inference you'll need that assumption, for example t-test or f-test. A reason for using the log transformation is avoid the heterocedastik problem that appears when the variance isn't constant. In this case, the log transf...

<t>I'm not sure that BS works on the princing of energy derivatives. The main reason is the behaviour of the prices, they don't follow a lognormal distribution. This distribution usually has fat tails on the right side (kurtosis greater than 3) and usually appears spikes in this prices due to specif...

First of all, a lot of thanks for your answer!! unfortunately this modelling isn't homework, so I'll have to start study kalman filters.If you could show me webs (pdf, docs) in which tackle this topic i'll thank for.Bye

Hi everybody,which is the duration of Inverse floaters? Is it bigger than zero's duration? Thanks in advance for your replies.

<t>The probit regression is a discrete regression, it means that dependent variable takes ordinal values and this values have a order. On the other hand in the normal regression the dependent variable is continuous, not discrete. Another peculiarity rises in the functional form of the regressión, th...

<t>Good evening everybody, I have a big problem and i will need our help. Please if anybody knows any idea to solve it: tell me!Well, let it be s1,…,s12, monthly coefficients that sums 1. This coefficients collection appears during 4 years and consenquently changing,ie coefficients from one year to ...

<t>Good evening everybody, I have a big problem and i will need our help. Please if anybody knows any idea to solve it: tell me!Well, let it be s1,…,s12, monthly coefficients that sums 1. This coefficients collection appears during 4 years and consenquently changing,ie coefficients from one year to ...