philsong/hedging-commodity-portfolio philsong/hedging-commodity-portfolio

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  • Language
    MATLAB
  • Created over 8 years ago
  • Updated over 12 years ago
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philsong/hedging-commodity-portfolio
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philsong

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Repository Details

Hedging a Commodity-Linked Portfolio: Matlab source code of sensitivity-based hedging simulation using the one-factor future model by Clewlow and Strickland in 1999

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