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 94
... evaluation and tuning by domain experts . A problem with the current methods is the overtrain- ing of the model . This is a well known phenomenon in engineering using black - box models such as neural net- work models . Overtraining ...
... evaluation and tuning by domain experts . A problem with the current methods is the overtrain- ing of the model . This is a well known phenomenon in engineering using black - box models such as neural net- work models . Overtraining ...
Página 123
... Evaluation of Option Pricing Algorithms * K. N. Pantazopoulos V. S. Verykios ; and E. N. Houstiss Computer Science Dept. , Purdue University , W. Lafayette , IN 47907 Abstract In this paper we present the design and prototype ...
... Evaluation of Option Pricing Algorithms * K. N. Pantazopoulos V. S. Verykios ; and E. N. Houstiss Computer Science Dept. , Purdue University , W. Lafayette , IN 47907 Abstract In this paper we present the design and prototype ...
Página 124
... evaluation is more properly addressed in the model level ; for example , the widely used Black & Scholes model [ BS73 ] can be , and has been , studied compared to the actual market . Within a given model there are numerous algorithms ...
... evaluation is more properly addressed in the model level ; for example , the widely used Black & Scholes model [ BS73 ] can be , and has been , studied compared to the actual market . Within a given model there are numerous algorithms ...
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