Applications of Wavelets to Estimation of Optimal Hedging

Илтгэсэн хурлын нэр: V International Symposium Generalized Statement and Solitions of Control Problems

Илтгэгч:  Д.Буянтогтох

Хамтран илтгэгч:

Илтгэсэн огноо: 2010-09-13

Илтгэлийн хураангуй:

One of the interesting topics in financial markets deals with  investigation of optimal hedge ratio. The basic concept of hedging is to combine investments in the spot market and futures market to form a portfolio that will eliminate or reduce fluctuations in its value. Futures contract is an agreement or standardized transactions between two parties to buy or sell an asset or financial instrument at a certain time in future for certain price.  In this talk we will concentrate on wavelet-based estimation of the optimal hedge ratio.