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 11
... called the time complexity of the algorithm . For example , an algorithm that traverses the nodes of the Rate Lattice exactly once has a time complexity of n ( n + 1 ) / 2 , where n is the depth of the lattice , i.e. the number of time ...
... called the time complexity of the algorithm . For example , an algorithm that traverses the nodes of the Rate Lattice exactly once has a time complexity of n ( n + 1 ) / 2 , where n is the depth of the lattice , i.e. the number of time ...
Página 96
... ( called " chromosomes " ) , a function verifying the fitness of the solution ( called " objective function " , or " fitness function " ) and the genetic operators of selection , mutation and crossover . We analyze the efficiency of the ...
... ( called " chromosomes " ) , a function verifying the fitness of the solution ( called " objective function " , or " fitness function " ) and the genetic operators of selection , mutation and crossover . We analyze the efficiency of the ...
Página 177
... called homoskedasticity ) on which several econometric models are based is inappropriate . Since an asset holder is ... called volatility clusters ) over time , and ( b ) the obser- vation that the distribution of the returns differs ...
... called homoskedasticity ) on which several econometric models are based is inappropriate . Since an asset holder is ... called volatility clusters ) over time , and ( b ) the obser- vation that the distribution of the returns differs ...
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