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 16
... abstract specification for the problem to be solved and the techniques to be applied . A five - minute description ... payoff . Constrain the option value to be greater than or equal to the payoff . Use Crank - Nicholson differencing for ...
... abstract specification for the problem to be solved and the techniques to be applied . A five - minute description ... payoff . Constrain the option value to be greater than or equal to the payoff . Use Crank - Nicholson differencing for ...
Página 157
... PAYOFF. 1 ... taxes are largely a source of embarrass- ment to financial economists ... partial equilib- rium models lead very quickly to numerical problems ... ( Dybvig and Ross , Journal of Fi- nance , 1986 ) ABSTRACT : This paper ...
... PAYOFF. 1 ... taxes are largely a source of embarrass- ment to financial economists ... partial equilib- rium models lead very quickly to numerical problems ... ( Dybvig and Ross , Journal of Fi- nance , 1986 ) ABSTRACT : This paper ...
Página 163
... payoffs as a function of the yet to be deter- mined hedge variables . Once the maturity parameters have been set , the actual do loops begin as described in Figure ... Abstract- The prediction of the volatility of financial time- series 163.
... payoffs as a function of the yet to be deter- mined hedge variables . Once the maturity parameters have been set , the actual do loops begin as described in Figure ... Abstract- The prediction of the volatility of financial time- series 163.
Contenido
A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Genetic Regression | 1 |
Review Papers | 4 |
High Performance Algorithms for Latticebased Derivative Pricing Models W Li University | 7 |
Derechos de autor | |
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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
A.M. Best abstract payoff analysis approximation autocorrelation average backpropagation barrier option Bermudan call and put coefficients companies components Computer data mining data set database decision delta-hedging denote derivative distribution dynamics equation error estimate evaluate example exchange rate expert filter financial time series forecasting foreign exchange market FOREIGN EXCHANGE OPTION fraudulent function future fuzzy G G G GARCH Gaussian Genetic Algorithms hedging implied volatility input Journal Kelvin transform kurtosis layer linear mathematical models mean measure method neural network nodes nonlinear operator optimization option pricing output parameters performance period polynomial portfolio prediction predictor price change problem profit put options ratio regression returns risk management sample SCINAPSE Sharpe ratio simulation skewness specific statistical stochastic strategy techniques template test set ticks time-scales training set transaction costs transform tree modeling trigonometric polynomial true price underlying validation set variables variance vector volatility wavelet zero