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 12
... increase with time . Intuitively , this is be- cause the probability that the corporate's leverage ratio reaches the default boundary increases over time . The percentage differences between the model and empirical values of PD for ...
... increase with time . Intuitively , this is be- cause the probability that the corporate's leverage ratio reaches the default boundary increases over time . The percentage differences between the model and empirical values of PD for ...
Página 42
... increase as the time horizons increase . The determination coefficient also rises as the time horizon increases . Thus , it seems that the explanatory power of the divident - price - ratio increases as the time horizon gets longer . The ...
... increase as the time horizons increase . The determination coefficient also rises as the time horizon increases . Thus , it seems that the explanatory power of the divident - price - ratio increases as the time horizon gets longer . The ...
Página 120
... increases , the value of the ECB also increases . This incremental rise due to stock price volatility is also due to an increase in the conversion's option value . - Table 3 The effects of exchange rate volatility and stock price ...
... increases , the value of the ECB also increases . This incremental rise due to stock price volatility is also due to an increase in the conversion's option value . - Table 3 The effects of exchange rate volatility and stock price ...
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