Explicitly considers the most common propagation models for financial variables and explains how the statistical properties of these variables determine and simulate their future values. Covers arithmetic Brownian motion, geometric Brownian motion, mean reversion and jump-diffusion processes. Some examples and exercises from the petroleum industry provided.

Explicitly considers the most common propagation models for financial variables and explains how the statistical properties of these variables determine and simulate their future values. Covers arithmetic Brownian motion, geometric Brownian motion, mean reversion and jump-diffusion processes. Some examples and exercises from the petroleum industry provided.
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David C. Shimko
27 pages.
Publication Date: Dec 17, 2002. Prod #: 203056-PDF-ENG
Simulation of prices, prices and cash flow (A) HBR case solution