A parsimonious parametric model for generating margin requirements for futures
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Publication:1991253
DOI10.1016/j.ejor.2018.08.006zbMath1403.91378OpenAlexW2888069996WikidataQ129359339 ScholiaQ129359339MaRDI QIDQ1991253
Anannit Sumawong, Carol Alexander, Andreas Kaeck
Publication date: 30 October 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: http://sro.sussex.ac.uk/id/eprint/77556/1/texsubmissionSRO.pdf
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Derivative securities (option pricing, hedging, etc.) (91G20)
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Cites Work
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- Prudent Margin Levels in the Finnish Stock Index Futures Market
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