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 29
... assets . It is assumed that each asset price is perfectly correlated with one or more options prices . We introduce a set of stochastic variables { X ; } that determine the stochastic behavior of the hedged portfolio . A change in ...
... assets . It is assumed that each asset price is perfectly correlated with one or more options prices . We introduce a set of stochastic variables { X ; } that determine the stochastic behavior of the hedged portfolio . A change in ...
Página 36
... asset allocation . The proposed model reverses the ordering of the simulation scenario analysis and optimization ... asset pricing and cashflows over the planing horizon . If fixed - income securities alone comprise the asset selection ...
... asset allocation . The proposed model reverses the ordering of the simulation scenario analysis and optimization ... asset pricing and cashflows over the planing horizon . If fixed - income securities alone comprise the asset selection ...
Página 302
... Assets When the risk - free rate of return r is included in single risky - asset trading models above , one actually has a simple two asset portfolio . For trading multiple assets in general ( typically including a risk - free ...
... Assets When the risk - free rate of return r is included in single risky - asset trading models above , one actually has a simple two asset portfolio . For trading multiple assets in general ( typically including a risk - free ...
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