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 20
... effect , the turnover effect may play an information role as in Chordia and Swaminathan . An obvious explanation for the turnover anomaly may be the increasing trading activities of insiders attempting to capitalize on unreleased ...
... effect , the turnover effect may play an information role as in Chordia and Swaminathan . An obvious explanation for the turnover anomaly may be the increasing trading activities of insiders attempting to capitalize on unreleased ...
Página 182
... effect induced by the mapping . Adn = √o12 V2 + 022 V2 + 2P120102V1 V2 ( 4 ) for the VAR of the portfolio . Here P12 denotes the correlation between the vertices t1 and t2 . The duration neutral mapping may be obtained by a sensitivity ...
... effect induced by the mapping . Adn = √o12 V2 + 022 V2 + 2P120102V1 V2 ( 4 ) for the VAR of the portfolio . Here P12 denotes the correlation between the vertices t1 and t2 . The duration neutral mapping may be obtained by a sensitivity ...
Página 183
... effect mentioned above ? To find the answer let us have a look at the above example . In fig ( 2 ) we have plotted a as a function of the maturity to of the cashflow . We see that a takes values between 0.68 and 1. This means that a ...
... effect mentioned above ? To find the answer let us have a look at the above example . In fig ( 2 ) we have plotted a as a function of the maturity to of the cashflow . We see that a takes values between 0.68 and 1. This means that a ...
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