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 76
... term rates with lending rates locked in over the mid - term . In contrast , the rise in rates provided an opportunity , if only one - directional , to the P & C underwriters . This opportunity legitimated " cash - flow underwriting ...
... term rates with lending rates locked in over the mid - term . In contrast , the rise in rates provided an opportunity , if only one - directional , to the P & C underwriters . This opportunity legitimated " cash - flow underwriting ...
Página 164
... term changes related to yearly yields , they do not capture the short - term changes that are related to daily price variations . That is , on a daily basis , investors adjust their expectations of growth in fundamental factors with ...
... term changes related to yearly yields , they do not capture the short - term changes that are related to daily price variations . That is , on a daily basis , investors adjust their expectations of growth in fundamental factors with ...
Página 241
... term structure of implied variance . First , it permits computation of the variance forecast over a period of any ... term structure of implied volatilities by direc ly examining the consistency of the current term structure with the ...
... term structure of implied variance . First , it permits computation of the variance forecast over a period of any ... term structure of implied volatilities by direc ly examining the consistency of the current term structure with the ...
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