Essays about: "Gustav Montgomerie-Neilson"
Found 1 essay containing the words Gustav Montgomerie-Neilson.
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1. Selecting the Worst-Case Portfolio : A proposed pre-trade risk validation algorithm of SPAN
University essay from KTH/Matematisk statistikAbstract : Abstract This thesis outlines a possible pre-trade risk validation algorithm for portfolios of commodities futures and options. A method is proposed that, given an order book of unmatched orders, determines the particular order selection, or portfolio, with the maximum margin requirement, as calculated by the risk analysis methodology SPAN. READ MORE
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