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 88
... estimation procedure . We attempt to estimate the parameters jointly from the time series return data and the corresponding option data . We would like to know whether the statistical precision of diffusion parameters could be improved ...
... estimation procedure . We attempt to estimate the parameters jointly from the time series return data and the corresponding option data . We would like to know whether the statistical precision of diffusion parameters could be improved ...
Página 200
... estimate a + g ( Z ) as well as the conditional means E ( yuzi and E ( x | z1 ) in equation 3. Setting for a moment aside the estimation of the a ,, consider the nonlinear function Yit = m ( zit ) + u ¡ l ( 5 ) and its linear ...
... estimate a + g ( Z ) as well as the conditional means E ( yuzi and E ( x | z1 ) in equation 3. Setting for a moment aside the estimation of the a ,, consider the nonlinear function Yit = m ( zit ) + u ¡ l ( 5 ) and its linear ...
Página 206
... estimate the risk component in exchange rate models , again in a way that is strongly similar to ARCH - type settings . In other words , the non parametric procedures are used to estimate a ( non linear in this case ) autoregressive ...
... estimate the risk component in exchange rate models , again in a way that is strongly similar to ARCH - type settings . In other words , the non parametric procedures are used to estimate a ( non linear in this case ) autoregressive ...
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