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
... consistent with their earning zero profit . Each market maker sets prices at which he will continually be ready to buy or to sell with any traders for at most one unit of the traded asset at any time . In addition , this assumes that ...
... consistent with their earning zero profit . Each market maker sets prices at which he will continually be ready to buy or to sell with any traders for at most one unit of the traded asset at any time . In addition , this assumes that ...
Página 163
... consistency of growth patterns of several fundamental factors , appears to capture some aspect of the performance of ... consistently high or consistently low growth rates had low measures of uncertainty . The stocks that performed very ...
... consistency of growth patterns of several fundamental factors , appears to capture some aspect of the performance of ... consistently high or consistently low growth rates had low measures of uncertainty . The stocks that performed very ...
Página 241
... consistent overreaction of long maturity implied volatility to the short maturity implied volatility in the S & P ... consistency of the current term structure with the behavior of future volatility quotes . 6 Conclusion This paper ...
... consistent overreaction of long maturity implied volatility to the short maturity implied volatility in the S & P ... consistency of the current term structure with the behavior of future volatility quotes . 6 Conclusion This paper ...
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