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 79
... peaks of $ 23 billion in 1992 and $ 17 billion in 1994 . The technology used to assess high - end risks was defined around the calculation of the Probable Maximum Loss ( PML ) . This technology bears more than passing resemblance to ...
... peaks of $ 23 billion in 1992 and $ 17 billion in 1994 . The technology used to assess high - end risks was defined around the calculation of the Probable Maximum Loss ( PML ) . This technology bears more than passing resemblance to ...
Página 163
... peaks for stocks with returns in the range of 0 % to 20 % . Despite the nonlinear behavior of the data , there is a statistically significant negative correlation between membership in the uncertain set and y1 ( p = 0.025 ) , indicating ...
... peaks for stocks with returns in the range of 0 % to 20 % . Despite the nonlinear behavior of the data , there is a statistically significant negative correlation between membership in the uncertain set and y1 ( p = 0.025 ) , indicating ...
Página 218
... peaks at 79.7 % , an improvement of about 30 % over the other strategies ( see Fig . 2 ) . This substantial improvement underlines the potential which applications of the SOM - algorithm in computational finance can have . Choosing ...
... peaks at 79.7 % , an improvement of about 30 % over the other strategies ( see Fig . 2 ) . This substantial improvement underlines the potential which applications of the SOM - algorithm in computational finance can have . Choosing ...
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