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
... dependent target leverage ratio Figure 1 : Term. reverting stochastic process . The correlation among the three stochastic variables is incorporated into the model . The firm defaults when its liability - to - asset ra- tio ( leverage ...
... dependent target leverage ratio Figure 1 : Term. reverting stochastic process . The correlation among the three stochastic variables is incorporated into the model . The firm defaults when its liability - to - asset ra- tio ( leverage ...
Página 62
... dependent interest as it is applicable to a large class of path - dependent options . An O ( n4h2 ) -time algorithm for general American - style reset options is presented . A much more efficient O ( n3hm ) -time algorithm exists for ...
... dependent interest as it is applicable to a large class of path - dependent options . An O ( n4h2 ) -time algorithm for general American - style reset options is presented . A much more efficient O ( n3hm ) -time algorithm exists for ...
Página 275
... dependent de- cay parameter should have a better ability to adapt to changes in market conditions . In particular , we select the four procedures in Table 2 . The SRE and ARE are included in the study , because they are promising . The ...
... dependent de- cay parameter should have a better ability to adapt to changes in market conditions . In particular , we select the four procedures in Table 2 . The SRE and ARE are included in the study , because they are promising . The ...
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