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 |
Dentro del libro
Resultados 1-3 de 20
Página 12
... longer than a few years . The shapes and values of the model term structures of PD are consistent with S & P's default rates of non- investment grade corporates . Both the model and em- pirical values show that low quality corporates ...
... longer than a few years . The shapes and values of the model term structures of PD are consistent with S & P's default rates of non- investment grade corporates . Both the model and em- pirical values show that low quality corporates ...
Página 87
... longer - term option if its maturity is longer than 90 days . Thus , we have 15 moneyness - maturity subgroups . Table 1 provides descriptive statistics on daily observations of the S & P 500 index call options for the period from ...
... longer - term option if its maturity is longer than 90 days . Thus , we have 15 moneyness - maturity subgroups . Table 1 provides descriptive statistics on daily observations of the S & P 500 index call options for the period from ...
Página 219
... longer selection lengths of 1 - month , 1- quarter , or longer . 4.5 Importance of the Distribution of Extreme Changes : Impact on VaR Calculations : In order to illustrate the practical importance of using the actual empirical ...
... longer selection lengths of 1 - month , 1- quarter , or longer . 4.5 Importance of the Distribution of Extreme Changes : Impact on VaR Calculations : In order to illustrate the practical importance of using the actual empirical ...
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 | |
Otras 6 secciones no mostradas
Otras ediciones - Ver todas
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