Machine summary:
Analyses of Tehran Stock Exchange Index (TEPIX) Drawdowns using wavelet transform 1 Ahmad Gholi barkish Receipt: 2015, 4 , 26 Acceptance: 2015, 8 , 14 Abstract A successful description of the dynamics of the stock prices, particularly large negative moves in the price, can have a profound impact to risk management.
Keywords: drawdown, Abrupt changes in stock market, Wavelets 1 Faculty of Economic and Administrative Sciences, Ferdowsi University of Mashhad Financial Engineering and Portfolio Management .
25, Winter 2016 Expected rate of turn modeling in Iran Stock Exchange with future Contract 1 Farid Shenasa 2 Kamran Pakizeh 3 Alireza Rastgar Receipt: 2015, 0 , 0 Acceptance: 2015, 0 , 0 Abstract Interest rate & required rate of return are known as building blocks of financial investment analysis and engineering economic.
Keywords: Required rate of return, interest rate, short interest rate models, Equilibrium models, futures contracts 1 Financial engineering graduate student at the University of Economic Sciences 2 University of Economic Sciences, Faculty of Finance Kamran.
25, Winter 2016 Calculation of value at risk for portfolio of coin and bourse index; comparing to models: GARCH and M-GARCH 1 Reza Raei 2 Soroush Khajeh Haghverdi 3 Mohammadreza Esmaeili Receipt: 2015, 5 , 30 Acceptance: 2015, 10 , 7 Abstract This paper apply GARCH and M-GARCH for estimating value at risk of portfolio including coin and stock exchange index from beginning of 2008 until beginning of 2014.
Keywords: Exchange rates cross hedging, Futures contracts; min variance optimal hedge ratio; hedging efficiency; Econometric models 1 Master in Financial Engineering, Tarbiat Modares University,Eskandari.
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