re : price processes for ng grant & vince ,
i am sending you the results of fitting different price process models into ng
prompt month prices . the fit is quite good for some models .
we might think of using these mean - reverting jump - diffusion models in our
credit model .
i should examine other contracts behavior ( beyond prompt month ) as well .
tanya .
re : price processes for ng
grant & vince ,
i am sending you the results of fitting different price process models into ng
prompt month prices . the fit is quite good for some models .
we might think of using these mean - reverting jump - diffusion models in our
credit model .
i should examine other contracts behavior ( beyond prompt month ) as well .
tanya .