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Mathematical finance / Futures contract / Forward price / Forward contract / Commodity market / Derivative / Commodity / Risk-neutral measure / Convenience yield / Financial economics / Finance / Economics


Microsoft Word - JohnCrosby_QF_version2.doc
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Document Date: 2008-07-21 09:36:23

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File Size: 231,10 KB

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City

London / /

Company

Cox / London Metal Exchange / /

Country

United States / Iraq / Kuwait / /

Currency

pence / USD / /

/

Facility

University of Warwick / Cambridge University / Imperial College / /

Holiday

Assumption / /

IndustryTerm

petroleum product / crude oil futures / electricity / crude oil / crude oil options / natural gas / oil / semi-analytic solutions / base metal / energy / /

Organization

Cambridge University / University of Warwick / Imperial College / /

Person

Stewart Hodges / Daryl Mcarthur / Mark Davis / Peter Carr / Simon Babbs / Olga Pavlova / Darrell Duffie / Farshid Jamshidian / Anthony Neuberger / Andrew Johnson / JOHN CROSBY / Chris Rogers / Nick Webber / Michael Dempster / /

Position

Multi-factor Jump-Diffusion Model / author / extended Vasicek model / forward / arbitrage-free multi-factor jump-diffusion model for pricing commodity options / /

ProvinceOrState

New Jersey / Pennsylvania / Maryland / /

Technology

simulation / /

SocialTag