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 116
... interest rate , and the foreign interest rate . We summarize the notations as follows . S = underlying stock price denominated in the foreign currency . r1 ... interest rate , foreign interest rate , exchange CIFER'03 HONG KONG 116.
... interest rate , and the foreign interest rate . We summarize the notations as follows . S = underlying stock price denominated in the foreign currency . r1 ... interest rate , foreign interest rate , exchange CIFER'03 HONG KONG 116.
Página 119
... interest rate parameters Initial instantaneous interest rate 0.06 Magnitude of mean - reverting force 0.2 Kd Long - run mean of interest rate 0.07 μα Volatility of interest rate 0.08 S σs Tree method ( 1000 stages ) LSM ( 1 ) ...
... interest rate parameters Initial instantaneous interest rate 0.06 Magnitude of mean - reverting force 0.2 Kd Long - run mean of interest rate 0.07 μα Volatility of interest rate 0.08 S σs Tree method ( 1000 stages ) LSM ( 1 ) ...
Página 383
... interest rate change motivates investors to modify the structure of their portfolios . The relation between stock prices and interest rate changes are , however , complicated . For example , a decline in interest rates may lead to an ...
... interest rate change motivates investors to modify the structure of their portfolios . The relation between stock prices and interest rate changes are , however , complicated . For example , a decline in interest rates may lead to an ...
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