Minimum capital requirement calculations for UK futures
Article Abstract:
To measure the potential of default at various probability levels, various minimum capital requirement estimates are provided. The resulting rescaled returns are applied to minimum capital requirement calculations.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
United Kingdom, Analysis, Financial analysis, Capital formation
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2004
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An N-factor Gaussian model of oil futures prices
Article Abstract:
The ability of N-factor Gaussian model to understand oil futures prices in stochastic behavior, when estimated with all available price information is studied, by using Kalman filter estimation procedure.
Publisher: John Wiley & Sons, Inc.
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
Commodity & service prices, Oil Products, Petroleum Refineries, Petroleum refining, Petroleum & Energy Products NEC, All Other Petroleum and Coal Products Manufacturing, Models, Usage, Evaluation, Prices and rates, Petroleum products, Stochastic processes, Gaussian processes, Company pricing policy, Kalman filtering
Publication Name: Journal of Futures Markets
Subject: Business, general
ISSN: 0270-7314
Year: 2006
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