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
... applied . A five - minute description to a knowledgable colleague is usually sufficient to completely specify a desired code . Suppose we wish to generate a finite difference model of American put options . An abstract specification ...
... applied . A five - minute description to a knowledgable colleague is usually sufficient to completely specify a desired code . Suppose we wish to generate a finite difference model of American put options . An abstract specification ...
Página 109
... applying a log transform ( throughout , this paper uses the natural log , In ) . In addition , applying a log ... applied to the original untransformed data . Leverage Contents Field Name CS.LIAB SRP.RLF Surplus Relief RE.LEV BCAR ...
... applying a log transform ( throughout , this paper uses the natural log , In ) . In addition , applying a log ... applied to the original untransformed data . Leverage Contents Field Name CS.LIAB SRP.RLF Surplus Relief RE.LEV BCAR ...
Página 298
... applied ; 1 ) Stationarity - If stationarity is not rejected , then the average chi - squared value should be equal to 2.0 and the N ( 0,1 ) transformed global test statistic should be less than 2.325 at the one percent level or less ...
... applied ; 1 ) Stationarity - If stationarity is not rejected , then the average chi - squared value should be equal to 2.0 and the N ( 0,1 ) transformed global test statistic should be less than 2.325 at the one percent level or less ...
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