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 85
... stochastic volatility option pricing model . The Heston model is calibrated by a two - step estimation procedure to incorporate both the information from time - series asset return and the information from cross - sectional option data ...
... stochastic volatility option pricing model . The Heston model is calibrated by a two - step estimation procedure to incorporate both the information from time - series asset return and the information from cross - sectional option data ...
Página 257
... stochastic volatility Rahul Desai , Tanmay Lele * , and Frederi Viens # Department of Mathematics and School of Elec . and Comp . Engr . , Purdue University , West Lafayette , IN 47907 , U.S.A * School of Chemical Engineering , Purdue ...
... stochastic volatility Rahul Desai , Tanmay Lele * , and Frederi Viens # Department of Mathematics and School of Elec . and Comp . Engr . , Purdue University , West Lafayette , IN 47907 , U.S.A * School of Chemical Engineering , Purdue ...
Página 258
... stochastic processes . The simple fact of having continuous - time mod- els with discrete time information captures , in our view , the essence of the incompleteness of information that all port- folio managers are faced with . 2 THE ...
... stochastic processes . The simple fact of having continuous - time mod- els with discrete time information captures , in our view , the essence of the incompleteness of information that all port- folio managers are faced with . 2 THE ...
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