Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza ManhattanIEEE Service Center, 1995 - 192 páginas |
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Página 165
... Markov mod- els in a domain where the state space is immense . To make the parameter esti- mation tractable , the large state space is represented as the Cartesian product of smaller state spaces , a paradigm known as factorial Markov ...
... Markov mod- els in a domain where the state space is immense . To make the parameter esti- mation tractable , the large state space is represented as the Cartesian product of smaller state spaces , a paradigm known as factorial Markov ...
Página 166
... Markov models [ 4 ] overcome this problem by representing the transition matrix as a convex combination of the elementary transition matrices of each underlying component ; the description presented here closely follows that presented ...
... Markov models [ 4 ] overcome this problem by representing the transition matrix as a convex combination of the elementary transition matrices of each underlying component ; the description presented here closely follows that presented ...
Página 169
... Markov model . 4 Conclusion Simple probabilistic models offer us a clear window into the dynamics and correlational structure of time series and are more readily understood than complex , highly nonlinear systems . In the analysis of ...
... Markov model . 4 Conclusion Simple probabilistic models offer us a clear window into the dynamics and correlational structure of time series and are more readily understood than complex , highly nonlinear systems . In the analysis of ...
Contenido
Outliers Influence Functions and Robust Portfolio Optimization | 1 |
tacting BlackScholes to a NonBlackSchcies Environment 137 | 4 |
A Theory of Price Formation in A Market with Short Sale Prohibition | 15 |
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Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial ... Vista de fragmentos - 1995 |
Términos y frases comunes
agents analysis ASPID Banco Bank of Tokyo-Mitsubishi behavior Black-Scholes cash flow mapping catastrophe losses CatLoss cointegration computational correlation covariance matrix data mining data set database deposit closings derivative distribution dynamics Easley and O'Hara efficient frontier error estimate evaluation expected FDIC Figure financial ratios FINANZIA fuzzy set Genetic genetic algorithm given growth rates h₁ implied variance independent component analysis Influence function informed traders instruments with means insured deposit Journal learning linear market maker Markov models method minimum variance portfolio multinomial Neural Networks neutral mapping option pricing overall parameter predict pricing algorithms probability problem rate of convergence ratio reinsurance risk neutral risk-neutral rules selection sell short sale short sale prohibition simulation specification standard deviations statistical stochastic stock price stock returns t₁ tangency portfolio techniques theta trading volume uncertainty underwriting uninformed V₁ V₂ variables vector volatility weighted