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 |
Dentro del libro
Resultados 1-3 de 36
Página 31
... average negative return caused by transaction cost and lead to an average gain when the hedging scheme is optimized . In the next section we show how this works when the implied volatility of a call overestimates the volatility of the ...
... average negative return caused by transaction cost and lead to an average gain when the hedging scheme is optimized . In the next section we show how this works when the implied volatility of a call overestimates the volatility of the ...
Página 91
... Average 100 200 Average 100- I 21 22 23 24 Transaction Sequence 21 22 23 24 Transaction Sequence Account 41280031xxxx Number Number Figure 2.4 presents ten transactions that were classified as fraud labeled with an F and twenty - five ...
... Average 100 200 Average 100- I 21 22 23 24 Transaction Sequence 21 22 23 24 Transaction Sequence Account 41280031xxxx Number Number Figure 2.4 presents ten transactions that were classified as fraud labeled with an F and twenty - five ...
Página 298
... 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 than 1.625 at the five percent level . All thirty six contracts analyzed ...
... 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 than 1.625 at the five percent level . All thirty six contracts analyzed ...
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 | |
Otras 16 secciones no mostradas
Otras ediciones - Ver todas
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