Treasury management model with foreign exchange exposure
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Publication:2574065
DOI10.1007/s10589-005-2059-2zbMath1085.90043MaRDI QIDQ2574065
Fabio Spagnolo, Gautam Mitra, Konstantin Alexandrovich Volosov, Cormac Lucas
Publication date: 16 November 2005
Published in: Computational Optimization and Applications (Search for Journal in Brave)
Full work available at URL: http://bura.brunel.ac.uk/handle/2438/1054
stochastic programming; value at risk; scenario generation; vector error correction model; spot price; mark to market; forward price; fx currency hedging; treasury management
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