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 65
... factor a similar analysis can be done with relevant cross partial derivative terms accounted for ; it can be shown that the ... factors . In [ 1 ] , the ill - posedness of VaR and CVaR minimization for a derivative portfolio is similarly ...
... factor a similar analysis can be done with relevant cross partial derivative terms accounted for ; it can be shown that the ... factors . In [ 1 ] , the ill - posedness of VaR and CVaR minimization for a derivative portfolio is similarly ...
Página 109
... factors on the optimal issuer's calling policy in con- vertible bonds . Our results show that the critical stock price at which the issuer should optimally call the con- vertible bond depends quite sensibly on these constraints and ...
... factors on the optimal issuer's calling policy in con- vertible bonds . Our results show that the critical stock price at which the issuer should optimally call the con- vertible bond depends quite sensibly on these constraints and ...
Página 140
... factors [ 12 , 10 , 11 ] : R1 = R + Aft + et ( 1 ) where ft is the k × 1 vector of realizations of k common factors , A is the n × k matrix of factor weights or loadings , and et is an × 1 vector of asset - specific risks . It is ...
... factors [ 12 , 10 , 11 ] : R1 = R + Aft + et ( 1 ) where ft is the k × 1 vector of realizations of k common factors , A is the n × k matrix of factor weights or loadings , and et is an × 1 vector of asset - specific risks . It is ...
Contenido
BANKRUPTCY PREDICTION WITH LEAST | 1 |
SIMPLE DECISION MAKING CRITERION AS REAL OPTIONS | 17 |
INCLUDING LIFETIME AND OPTIONS IN RESIDUAL INCOME INDICATORS | 31 |
Derechos de autor | |
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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