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 96
... given the 1 - Point bound , a completely automated , recur- sive prescription generates the two point bound . We present the formulas thus generated here , and we postpone the dis- cussion of the details behind the recursive ...
... given the 1 - Point bound , a completely automated , recur- sive prescription generates the two point bound . We present the formulas thus generated here , and we postpone the dis- cussion of the details behind the recursive ...
Página 133
... given by l Sn + 1 = und L'd1Sn , l = 1 , ... L , ( 15 ) where pi , = 1 , ... L are the corresponding probabilities which satisfy P1 + + PL ... = 1 . ... 9 ( 16 ) To make the multinomial tree recombine , we further assume that un / dn ...
... given by l Sn + 1 = und L'd1Sn , l = 1 , ... L , ( 15 ) where pi , = 1 , ... L are the corresponding probabilities which satisfy P1 + + PL ... = 1 . ... 9 ( 16 ) To make the multinomial tree recombine , we further assume that un / dn ...
Página 195
... given the information at time t , by the following relation : E ( Pt + 1 | It ) = APt + 1 | It + Pt , ( 17 ) where APt + 1 | It is the predicted price change at time t + 1 , given the information set It . Let Pt be the exchange rate at ...
... given the information at time t , by the following relation : E ( Pt + 1 | It ) = APt + 1 | It + Pt , ( 17 ) where APt + 1 | It is the predicted price change at time t + 1 , given the information set It . Let Pt be the exchange rate at ...
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