I suggest to look at the following paper of Gate, Goetzmann and Rouwenhorsthttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=141615ask me for a recent MATLAB implementation.

you should look at some book of Helyette Geman about commodities

<t>QuoteOriginally posted by: frenchXA model has obviously some limitations. it's the same in EVERY natural science in fact (and especially in physics). When you say that the light is a photon or an electromagnetic field. Have you already seen a photon ? or a magnetic field ? You only see the conseq...

Consider a lookback option that pays, if exercised say at t', the difference between the current asset price at t' and the minimum occured between (0,t'). If we suppose finite maturity why one would create such kind of product? Maybe to face with JUMP or increase of volatility?Thanx

yield curve(initial fwd curve)

<t>Hi all,I am testing the impact of an higher moments optimization tool for asset allocation on commodities futures.I built an opportunity set including proxies of stocks, cash, commodities asset class.But I have no idea which (world or US) index I should use for the corporate bond asset class.Any ...

<t>Dear all,i'm an Italian student and I'd like you give me some suggestions about a MSc Finance for the aa2009/2010.I got three different offers: Birkbeck College, Imperial College and Warwick. Which one is the most reputable (from both professional and academical point of view)?Which one has the b...

You should check C.R.Harvey (Fuqua-Duke University). He teaches a course entitled "Global asset allocation and stock selection", you can read the course syllabus.

<t>Dear all,i'm an Italian student and I'd like you give me some suggestions about a MSc Finance for the aa2009/2010.I got three different offers: Birkbeck College, Imperial College and Warwick. Which one is the most reputable (from both professional and academical point of view)?Which one has the b...