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
... assume that securities are traded at a discrete set of times ( to < t1 , ... , tn ) . We introduce the hedged portfolio as a linear combination of options and underlying risky assets . It is assumed that each asset price is perfectly ...
... assume that securities are traded at a discrete set of times ( to < t1 , ... , tn ) . We introduce the hedged portfolio as a linear combination of options and underlying risky assets . It is assumed that each asset price is perfectly ...
Página 101
... assume that the good prices , P , are fixed during the relevant time interval . Suppose that gross investment , I , and savings , S , depend both on income and the interest rate in the familiar way , i.e. , | = | ( Y , r ) S = S ( Y , r ) ...
... assume that the good prices , P , are fixed during the relevant time interval . Suppose that gross investment , I , and savings , S , depend both on income and the interest rate in the familiar way , i.e. , | = | ( Y , r ) S = S ( Y , r ) ...
Página 158
... Assume that the SP100 Cash Index is currently trad- ing at S = 100 and that the one period interest rate is 10 % , where , for convenience a period is taken to be one year . We construct a binomial model for the evolution of the SP100 ...
... Assume that the SP100 Cash Index is currently trad- ing at S = 100 and that the one period interest rate is 10 % , where , for convenience a period is taken to be one year . We construct a binomial model for the evolution of the SP100 ...
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