Dynamic hedging of foreign exchange risk using stochastic model predictive control.

Farzad Noorian Philip Heng Wai Leong

Published in: CIFEr (2014)

Keyphrases

foreign exchange
model predictive control
exchange rate
early warning
risk management
predictive control
dynamic environments
knowledge base
management system
decision support system
decision making
expert systems
dynamic programming
decision makers
benchmark datasets
financial markets