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 181
... principle , changes of interest rates for any possible maturity should be included into the analysis . Such an analysis would be difficult , as ⚫ it would demand to handle an impracticably large amount of data ⚫ historical data is ...
... principle , changes of interest rates for any possible maturity should be included into the analysis . Such an analysis would be difficult , as ⚫ it would demand to handle an impracticably large amount of data ⚫ historical data is ...
Página 215
... principle components . " Journal of the American . Statistical Association 76 , 354 - 362 Hampel , Frank R. ( 1974 ) . " The influence curve and its role in robust estimation . " Journal of the American Statistical Association 69 , 383 ...
... principle components . " Journal of the American . Statistical Association 76 , 354 - 362 Hampel , Frank R. ( 1974 ) . " The influence curve and its role in robust estimation . " Journal of the American Statistical Association 69 , 383 ...
Página 237
... principle of Hendry and Richard ( 1982 ) . The encompassing principle is concerned with the ability of a model to explain the behavior embodied in the relevant characteristics of rival models . A general model for the encompassing tests ...
... principle of Hendry and Richard ( 1982 ) . The encompassing principle is concerned with the ability of a model to explain the behavior embodied in the relevant characteristics of rival models . A general model for the encompassing tests ...
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