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 |
Dentro del libro
Resultados 1-3 de 32
Página 169
... change for a single currency based on a mixture of the current directions of change of all the currencies . We estimate the model parameters over a window of 500 days to predict the direction of change for each of the next 500 days ...
... change for a single currency based on a mixture of the current directions of change of all the currencies . We estimate the model parameters over a window of 500 days to predict the direction of change for each of the next 500 days ...
Página 181
... changes of interest rates . A likely range for the changes of interest rates may be estimated by a statistical analysis of historical data . From the estimation of interest rate changes a probable range for the possible losses in the ...
... changes of interest rates . A likely range for the changes of interest rates may be estimated by a statistical analysis of historical data . From the estimation of interest rate changes a probable range for the possible losses in the ...
Página 236
... changes are negatively correlated with the aggregate consumption growth , and thus a global - average representative ... change of the option price . For example , for a 3 - month at - the - money American - style currency call or put ...
... changes are negatively correlated with the aggregate consumption growth , and thus a global - average representative ... change of the option price . For example , for a 3 - month at - the - money American - style currency call or put ...
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 | |
Otras 9 secciones no mostradas
Otras ediciones - Ver todas
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