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 74
... once again by a small amount ( on the order of 10−3 ) . The plot in the upper right hand corner shows the stan- dard deviation of the hedging error . The curves for the two hedges are almost indistinguishable , indicating once again ...
... once again by a small amount ( on the order of 10−3 ) . The plot in the upper right hand corner shows the stan- dard deviation of the hedging error . The curves for the two hedges are almost indistinguishable , indicating once again ...
Página 154
... Once we have obtained the L pairs [ 1 , J - 1 ( -1 ) ] , we can approximate the cost - to - go function J - 1 for the whole XT - 1,1 by means of a neural network having the structure ĴT - 1 ( T - 1 , WT - 1 ) , where wT - 1 ERK is the ...
... Once we have obtained the L pairs [ 1 , J - 1 ( -1 ) ] , we can approximate the cost - to - go function J - 1 for the whole XT - 1,1 by means of a neural network having the structure ĴT - 1 ( T - 1 , WT - 1 ) , where wT - 1 ERK is the ...
Página 238
... once it appears . Figure 3 is a graph showing the relaxation time T of arbitrage chances measured as the duration of the arbitrage gain u ( t ) being larger than one , once it occurs . Data of one full day of October 1 , 1992 was used ...
... once it appears . Figure 3 is a graph showing the relaxation time T of arbitrage chances measured as the duration of the arbitrage gain u ( t ) being larger than one , once it occurs . Data of one full day of October 1 , 1992 was used ...
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