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Handbook of heavy-tailed distributions in asset management and risk management

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Introduction to stochastic processes

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A new approach for using Lévy processes for determining high-frequency value-at-risk predictions

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A profit model for spread trading with an application to energy futures

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A profit model for spread trading with an application to energy futures

Kanamura, Takashi; Račev, Svetlozar T.; Fabozzi, Frank J. - 2011

This paper proposes a profit model for spread trading by focusing on the stochastic movement of the price spread and its first hitting time probability density. The model is general in that it can be used for any financial instrument. The advantage of the model is that the profit from the trades...

Persistent link: https://www.econbiz.de/10009010172