Stochastic receding horizon control for short-term risk management in foreign exchange
Farzad Noorian, Barry Flower and Philip H.W. Leong
| Year of publication: |
June 2016
|
|---|---|
| Authors: | Noorian, Farzad ; Flower, Barry G. ; Leong, Philip H. W. |
| Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 18.2016, 5, p. 29-62
|
| Subject: | foreign exchange (FX) hedging | short-term risk management | stochastic models | receding horizon control | scenario generation | Risikomanagement | Risk management | Hedging | Portfolio-Management | Portfolio selection | Währungsmanagement | Foreign exchange management | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011598355