Forecasting Value at Risk of Foreign Exchange Rate by Integrating Geometric Brownian Motion.
Siti Noorfaera KarimMaheran Mohd JaffarPublished in: SCDS (2018)
Keyphrases
- exchange rate
- brownian motion
- stochastic process
- foreign exchange
- differential equations
- long run
- heavy traffic
- diffusion process
- optimal control
- poisson process
- financial time series
- stock price
- vector valued
- stochastic processes
- queue length
- closed form solutions
- early warning
- inventory level
- currency exchange
- risk management
- financial markets
- stochastic model
- markov chain