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Página 56
A much more efficient O ( n3hm ) algorithm exists for European - style geometric average trigger reset op- tions , where m denotes the number of reset dates . This algorithm makes novel use of generating func- tions .
A much more efficient O ( n3hm ) algorithm exists for European - style geometric average trigger reset op- tions , where m denotes the number of reset dates . This algorithm makes novel use of generating func- tions .
Página 64
We want to determine a portfolio x so that a measure of the hedge risk is minimized when the portfolio II ( x ; S , t ) is used to hedge the loss II ° ( S , t ) . def Let the row vector V = [ V1 ,, Vn ] denote the hedging instrument ...
We want to determine a portfolio x so that a measure of the hedge risk is minimized when the portfolio II ( x ; S , t ) is used to hedge the loss II ° ( S , t ) . def Let the row vector V = [ V1 ,, Vn ] denote the hedging instrument ...
Página 111
Let t denote the date of call so that t + t , is the conversion decision date for the bondholders . The bondholders essentially replace the original bond at time t by a new con- vertible bond that expires at later time t + t with payoff ...
Let t denote the date of call so that t + t , is the conversion decision date for the bondholders . The bondholders essentially replace the original bond at time t by a new con- vertible bond that expires at later time t + t with payoff ...
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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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Otras ediciones - Ver todas
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 algorithm analysis applied approach approximation asset assume average bond bound calculated changes compared computed conditional consider correlation corresponding cost currency decision defined denote depends derived deviation distribution dynamics Economics effect equation error estimated example exchange rate expected experiment Figure fitness forecast function future genetic given hedging implied increase indicators input interest investment Journal linear mean measure method moving neural network nonlinear normal Note observations obtained operating optimal option parameters patterns performance period points portfolio positive prediction present probability problem profit Programming random ratio REFERENCES respectively returns risk rules sample selection shows simulation square standard statistical step stochastic stock price strategies Table term tion trading trend University variables vector volatility weights
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 | 11 Ene. 2008 |
| ISBN | 0780321464, 9780780321465 |
| Largo | 192 páginas |
| Exportar cita | BiBTeX EndNote RefMan |