Forecasting sales and forecasting uncertainty
There are a large number of methods used for forecasting ranging from judgmental thru expert systems and time series to causal methods.
There are a large number of methods used for forecasting ranging from judgmental thru expert systems and time series to causal methods.
We are here looking for hedge models and hedge ratio estimations techniques that are “good enough” and that can fit into valuation models using Monte Carlo simulation. The model have to be dynamic in the sense that as new data (contracts) becomes available it can read the data, perform the necessary statistical analysis, produce the hedging coefficients and do the simulations – in one go.