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 77
... Genetic Programming Approach for Pricing and Hedging Derivative Securities Matthias G. Schuster University of Vienna , Department of Business Administration , Bruenner Strasse 72 , A - 1210 Austria . Email : matthias.schuster@univie.ac ...
... Genetic Programming Approach for Pricing and Hedging Derivative Securities Matthias G. Schuster University of Vienna , Department of Business Administration , Bruenner Strasse 72 , A - 1210 Austria . Email : matthias.schuster@univie.ac ...
Página 83
... genetic approximation of MacMil- lan which is from a computational point of view less ex- pensive than the PGJ - approximation but more expensive than the genetic approximation , now causes higher devia- tions than the genetically ...
... genetic approximation of MacMil- lan which is from a computational point of view less ex- pensive than the PGJ - approximation but more expensive than the genetic approximation , now causes higher devia- tions than the genetically ...
Página 409
... genetic algo- rithm with different kinds of moving averages . Data are av- erage of 20 runs . ( a ) For training set . GA - SMA GA - EMA 7.89 GA - AMA 8.36 Microsoft Intel Oracle Dell 6.71 9.74 19.9 14.2 8.03 23.7 11.0 17.6 20.6 12.2 ...
... genetic algo- rithm with different kinds of moving averages . Data are av- erage of 20 runs . ( a ) For training set . GA - SMA GA - EMA 7.89 GA - AMA 8.36 Microsoft Intel Oracle Dell 6.71 9.74 19.9 14.2 8.03 23.7 11.0 17.6 20.6 12.2 ...
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