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 10
... assumed process is consistent with many of the observed properties of interest rates , it can allow negative interest rates . However , this assumption may still be justifiable in the context of the valuation because given that the ...
... assumed process is consistent with many of the observed properties of interest rates , it can allow negative interest rates . However , this assumption may still be justifiable in the context of the valuation because given that the ...
Página 161
... assumed to be myopic to endeavor to maximize their expected utility . U ( W ) = −exp ( −XW ) ( 2 ) Although the ... Assuming that agent i's expectation about stock price and dividend in time t + 1 is distributed with mean Ê , t [ Pt + ...
... assumed to be myopic to endeavor to maximize their expected utility . U ( W ) = −exp ( −XW ) ( 2 ) Although the ... Assuming that agent i's expectation about stock price and dividend in time t + 1 is distributed with mean Ê , t [ Pt + ...
Página 195
... assuming very short time intervals , this can be a realistic hypothesis . In the model , it has been assumed that the market is not efficient , and the agents can predict the price at time t + 1 , given the information at time t , by ...
... assuming very short time intervals , this can be a realistic hypothesis . In the model , it has been assumed that the market is not efficient , and the agents can predict the price at time t + 1 , given the information at time t , by ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
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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
AANN agents American put American put options analysis applied approach approximation arbitrage barrier option Black-Scholes bond calculated call option coefficients computed convertible bond correlation covariance currency data points data set decision defined delta hedge denote derived distribution dynamics Econometrics Economics equation error estimated evaluation exchange rate Figure financial time series forecast formula function fuzzy genetic algorithm given Heston model Hong Kong hypothesis implied volatility indicators input interest rate Journal of Finance kernel kurtosis linear matrix method momentum moving average neural network nonlinear normal normal distribution observations option pricing p-value pair-wise paper parameters performance period portfolio prediction problem Programming put options random ratio regression reset returns risk sample sequences Sharpe Ratio simulation standard deviation statistical stochastic volatility stock price strike price support vector machines SVMs Table tion trading rules training data trend variables variance wavelets