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 8
Página 97
... Objective Functions . Plenum Press , New York , 1981 . [ 3 ] N. W. Bormans , M. Setnes , U. Kaymak , and H. R. van Nauta Lemke . Application of fuzzy sets to finance and insurance . In Proceedings of Interfaces '97 , pages 189- 191 ...
... Objective Functions . Plenum Press , New York , 1981 . [ 3 ] N. W. Bormans , M. Setnes , U. Kaymak , and H. R. van Nauta Lemke . Application of fuzzy sets to finance and insurance . In Proceedings of Interfaces '97 , pages 189- 191 ...
Página 123
... objective is to assist in the generation , storage , and evaluation of large amounts of experimental option pricing data and to facilitate the identification of performance properties of the pricing algorithms with respect to the ...
... objective is to assist in the generation , storage , and evaluation of large amounts of experimental option pricing data and to facilitate the identification of performance properties of the pricing algorithms with respect to the ...
Página 124
... objective classification properties of the pricing algorithms . Econometric 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 ...
... objective classification properties of the pricing algorithms . Econometric 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 ...
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