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 130
... bound is valid for any market model . Asset prices can drop to zero overnight or can increase arbitrarily . Consequently Hn may be too high a price to pay for this option in markets experiencing less volatility . To gain more insight ...
... bound is valid for any market model . Asset prices can drop to zero overnight or can increase arbitrarily . Consequently Hn may be too high a price to pay for this option in markets experiencing less volatility . To gain more insight ...
Página 133
... bound on the price of the hindsight allocation option valid for any market model . To gain more insight into this option and the bound , we derived the no - arbitrage price of the hindsight allocation option for the bond - stock ...
... bound on the price of the hindsight allocation option valid for any market model . To gain more insight into this option and the bound , we derived the no - arbitrage price of the hindsight allocation option for the bond - stock ...
Página 273
... bound on the maximum debt : equity ratio imposed by law ) ⚫ the funding requirement at each node the current interest rate at each node ⚫ the calculation method for tax credit Calculated data From the information provided , the model ...
... bound on the maximum debt : equity ratio imposed by law ) ⚫ the funding requirement at each node the current interest rate at each node ⚫ the calculation method for tax credit Calculated data From the information provided , the model ...
Contenido
Solving Robust Optimization Models in Finance | 1 |
FINANCIAL COMPUTING ENVIRONMENTS | 14 |
MARKET BEHAVIOR MODELS | 27 |
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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
Adaptive RPCL-CLP analysis applications approach Artificial Neural Networks attributes average Black/Scholes bootstrap calculated call market classification cluster companies computed correlation dimension currency data set days to expiration decision defined described determine deterministic distribution dynamical systems economic efficient equation estimate evaluation example exchange rate factors Figure financial ratios financial time series forecasting future futures contracts fuzzy set GEMGA Genetic Algorithms IEEE implementation implied volatilities Index Prices indices input interest rate Journal Kalman filter layer linear linear regression local volatility MACD mathematical models Mean-Filtered measure method Moneyness neural network node nonlinear open-to-open optimization option prices option valuation output paper patterns performance prediction private ECU problem random Recon regression model residual returns RMSVE rules sample selection simulation standard deviation statistical stochastic Stock Exchange stock market stock market index structure techniques University variables vector volatility function