Essays about: "Gustav Montgomerie-Neilson"

Found 1 essay containing the words Gustav Montgomerie-Neilson.

  1. 1. Selecting the Worst-Case Portfolio : A proposed pre-trade risk validation algorithm of SPAN

    University essay from KTH/Matematisk statistik

    Author : Gustav Montgomerie-Neilson; [2012]
    Keywords : ;

    Abstract : 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