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 106
... method and the standard Monte Carlo method for example 1. Standard deviation is per iteration while the CPU time is per million iteration . The actual value of the barrier option is 4.513 . Example 2 In this example we use the following ...
... method and the standard Monte Carlo method for example 1. Standard deviation is per iteration while the CPU time is per million iteration . The actual value of the barrier option is 4.513 . Example 2 In this example we use the following ...
Página 275
... method of moment has very low statistical efficiency , when the tails of the return distributions are fat ( degree of freedom is small ) and has high efficiency when the tails are thin . The symmetric nonparametric method al1 always ...
... method of moment has very low statistical efficiency , when the tails of the return distributions are fat ( degree of freedom is small ) and has high efficiency when the tails are thin . The symmetric nonparametric method al1 always ...
Página 335
... method ( t ) ranks the 4th for all data generating processes except for LDT and NDT where it ranks the 3rd . Third , methods based on the preprocessed data by either detrending ( dt ) or differencing ( df ) outperform methods based on ...
... method ( t ) ranks the 4th for all data generating processes except for LDT and NDT where it ranks the 3rd . Third , methods based on the preprocessed data by either detrending ( dt ) or differencing ( df ) outperform methods based on ...
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