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 21
Página 81
... neutral conditions . Similarly , for any function , f , valuing a derivative security based on theta that pays off f ( T ) at time T , the expected risk - neutral value is f = e ^ ( - rT ) E ( m ) ( f ( T ) ) . This requires setting the ...
... neutral conditions . Similarly , for any function , f , valuing a derivative security based on theta that pays off f ( T ) at time T , the expected risk - neutral value is f = e ^ ( - rT ) E ( m ) ( f ( T ) ) . This requires setting the ...
Página 183
... neutral mapping . For to 1 year the cash- flows compensate exactly and the VAR be- comes zero . The sharp rise in the VAR as soon as to exceeds 1 year is an artefact of the mapping : The risk neutral mapping tends to map a large part of ...
... neutral mapping . For to 1 year the cash- flows compensate exactly and the VAR be- comes zero . The sharp rise in the VAR as soon as to exceeds 1 year is an artefact of the mapping : The risk neutral mapping tends to map a large part of ...
Página 188
... neutral mapping the volatilities of cash flows with maturities between t1 and t2 are repre- sented by vectors pointing from the origin to a line connecting the tips of v1 and v2 ( points A and B ) . The vectors drawn in this picture are ...
... neutral mapping the volatilities of cash flows with maturities between t1 and t2 are repre- sented by vectors pointing from the origin to a line connecting the tips of v1 and v2 ( points A and B ) . The vectors drawn in this picture are ...
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