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 8
... deviation of 10 % , the other having return of 10 % and standard deviation of 5 % , and the two instruments having 0.5 correlation , we have IF ___ 2 ( z1 , z2 ) = 0.2538z , 2 + 0.2462z22 + 0.5z12 - 0.054z , -0.1z2 - 0.2053 στην IFμm ...
... deviation of 10 % , the other having return of 10 % and standard deviation of 5 % , and the two instruments having 0.5 correlation , we have IF ___ 2 ( z1 , z2 ) = 0.2538z , 2 + 0.2462z22 + 0.5z12 - 0.054z , -0.1z2 - 0.2053 στην IFμm ...
Página 11
... deviation of 10 % , the other having return of 10 % and standard deviation of 5 % , and the two instruments having 0.5 correlation , with a risk free rate of 4 % , we have 2 IF_2 ( Z1 , Z2 ) = −0.3086z , 2 + 1.5144z22 +1.6461 ( z1z2 ) ...
... deviation of 10 % , the other having return of 10 % and standard deviation of 5 % , and the two instruments having 0.5 correlation , with a risk free rate of 4 % , we have 2 IF_2 ( Z1 , Z2 ) = −0.3086z , 2 + 1.5144z22 +1.6461 ( z1z2 ) ...
Página 235
... deviation of  is estimated by Monte Carlo simulation ( Efron ( 1982 ) ) . Under the assumption that the sample of the option prices is independent from the sample of the underlying exchange rates , the standard deviations of  can be ...
... deviation of  is estimated by Monte Carlo simulation ( Efron ( 1982 ) ) . Under the assumption that the sample of the option prices is independent from the sample of the underlying exchange rates , the standard deviations of  can be ...
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