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 45
... bond index ( a proxy for 30 - year treasury bond prices ) , and past values of the S & P 100. The three raw time series are shown in Figure 4 . 720 1650 700 600 S & P 100 Lehman Bond Index 500 1600 680 400 1550 300 640 600 1500 1450 200 ...
... bond index ( a proxy for 30 - year treasury bond prices ) , and past values of the S & P 100. The three raw time series are shown in Figure 4 . 720 1650 700 600 S & P 100 Lehman Bond Index 500 1600 680 400 1550 300 640 600 1500 1450 200 ...
Página 46
... bond index ( not shown ) . Thus the spectrums of the S & P 100 and the Lehman bond index suggest fractal Brownian behavior . The spectrum of the total transaction volume time series is not as suggestive of such behavior . Additional ...
... bond index ( not shown ) . Thus the spectrums of the S & P 100 and the Lehman bond index suggest fractal Brownian behavior . The spectrum of the total transaction volume time series is not as suggestive of such behavior . Additional ...
Página 112
... bond rating prediction and insurance company rating prediction to have numerous sim- ilarities . Certainly , the financial ratios and tests used in the bond rating models resemble some of Best's preface tests . 5.1 Tree Model Explained ...
... bond rating prediction and insurance company rating prediction to have numerous sim- ilarities . Certainly , the financial ratios and tests used in the bond rating models resemble some of Best's preface tests . 5.1 Tree Model Explained ...
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