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 23
... asset if it is under- priced and always sells if it is overpriced , provided he holds the shares . A risky asset is under - priced ( over - priced ) if its asking price is less ( more ) than the trader's conditional expectation of its ...
... asset if it is under- priced and always sells if it is overpriced , provided he holds the shares . A risky asset is under - priced ( over - priced ) if its asking price is less ( more ) than the trader's conditional expectation of its ...
Página 25
... asset has the random dollar value V per share with positive mean and variance . All participants know these parameters . In the case of an information event at time t = -1 , the signal y about the future value of the risky asset V is ...
... asset has the random dollar value V per share with positive mean and variance . All participants know these parameters . In the case of an information event at time t = -1 , the signal y about the future value of the risky asset V is ...
Página 45
... asset has the random dollar eventual value , V per share . V1 = E { V│Y = H } ; V1 = E { V│Y = L } ; V * = E { V ... asset up to time t . v , = ẞ , + s ,. B1 The total buying volume of the traded asset up to time t . St The total ...
... asset has the random dollar eventual value , V per share . V1 = E { V│Y = H } ; V1 = E { V│Y = L } ; V * = E { V ... asset up to time t . v , = ẞ , + s ,. B1 The total buying volume of the traded asset up to time t . St The total ...
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 |
Derechos de autor | |
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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