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 101
... consider the jump diffusion approach . Jump diffusion processes were originally proposed by Merton [ 1976 ] . Merton derived an infinite sum formula for a plain vanilla option , assuming normally distributed jump sizes ( see also ...
... consider the jump diffusion approach . Jump diffusion processes were originally proposed by Merton [ 1976 ] . Merton derived an infinite sum formula for a plain vanilla option , assuming normally distributed jump sizes ( see also ...
Página 289
... consider the following condition . Condition 4 Assume that E { | at | } < ∞ for every at el- ement of xt E N. Let ß ; be the vector of coefficients for expert j , j J. Assume that is compact and , for each expert distribution , the ...
... consider the following condition . Condition 4 Assume that E { | at | } < ∞ for every at el- ement of xt E N. Let ß ; be the vector of coefficients for expert j , j J. Assume that is compact and , for each expert distribution , the ...
Página 296
... consider the quadratic variation criterion , for h > 0 , Modal2 , CAR ( 1 ) Model3 , CAR ( 2 ) QVC ( k , h ) = log QV ( X ( * − 1 } ) ( T ) + 2 log ( S o2 ( t ) dt ) . ( k − 1 ) ! ) — log ( Note that from the definition given in ...
... consider the quadratic variation criterion , for h > 0 , Modal2 , CAR ( 1 ) Model3 , CAR ( 2 ) QVC ( k , h ) = log QV ( X ( * − 1 } ) ( T ) + 2 log ( S o2 ( t ) dt ) . ( k − 1 ) ! ) — log ( Note that from the definition given in ...
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 |
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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