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Página 79
The contemporaneous analytic technology to assess and price these risks widely missed the mark , and as a result , a justifiable uncertainty now prevails , making those who underwrite these risks to demand a high risk charge .
The contemporaneous analytic technology to assess and price these risks widely missed the mark , and as a result , a justifiable uncertainty now prevails , making those who underwrite these risks to demand a high risk charge .
Página 230
Since there is no liquid traded security or futures markets that can be used to hedge the risk of exchange rate volatility , it is difficult to form a risk - free portfolio ; in this case , the valuation of the option is no longer ...
Since there is no liquid traded security or futures markets that can be used to hedge the risk of exchange rate volatility , it is difficult to form a risk - free portfolio ; in this case , the valuation of the option is no longer ...
Página 236
The finding of a nonzero risk premium complements Melino and Turnbull ( 1990 ) from an opposite direction : that is , the conditional distribution of the logarithm of the exchange rate ratio and the market price of variance risk are ...
The finding of a nonzero risk premium complements Melino and Turnbull ( 1990 ) from an opposite direction : that is , the conditional distribution of the logarithm of the exchange rate ratio and the market price of variance risk are ...
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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
actual agents algorithm analysis applied approach asset assumed average banks cash flow catastrophe closings components computational condition considered consistent convergence correlation dependent deposit derivative described determine distribution effect efficient error estimate evaluation event example exchange expected Figure function future fuzzy given growth h₁ implied increases independent indicates industry Influence function informed traders insured interest International Journal learning losses mapping market maker matrix mean measure method neutral objects observed obtained occurs option parameter performance period portfolio positive possible predict present probability problem ratio relation relative respect returns risk rules selection sell short sale shows signal simulation specification standard statistical structure Table techniques term trade uninformed University V₁ variables variance vector volatility volume weighted
Información bibliográfica
| Título | Proceedings of the IEEE/IAFE 1995 Computational Intelligence for Financial Engineering (CIFEr): April 9-11, 1995, New York City, Crowne Plaza Manhattan |
| Colaboradores | IEEE Computer Society, IEEE Neural Networks Council, International Association of Financial Engineers |
| Editor | IEEE Service Center, 1995 |
| Procedencia del original | Universidad de Michigan |
| Digitalizado | 10 Ene. 2008 |
| ISBN | 0780321464, 9780780321465 |
| Largo | 192 páginas |
| Exportar cita | BiBTeX EndNote RefMan |