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 128
... Chapter 22. pp . 443-466 . [ 2 ] Chen , S.-H. , and C.-H. Yeh ( 1997 ) , " Modelling Speculators with Genetic Programming , " forthcoming in Evolutionary Programming VI , Springer - Verlag . [ 3 ] Chen , S.-H. , and C.-H. Yeh ( 1997a ) ...
... Chapter 22. pp . 443-466 . [ 2 ] Chen , S.-H. , and C.-H. Yeh ( 1997 ) , " Modelling Speculators with Genetic Programming , " forthcoming in Evolutionary Programming VI , Springer - Verlag . [ 3 ] Chen , S.-H. , and C.-H. Yeh ( 1997a ) ...
Página 171
... Chapter 8 , 1983 ) . This assumption is meant to essentially govern the local and micro - time behavior of qsset prices . But the sum of changes in the logarithms of prices is again Gaussian since convolutions of Gaussian distributions ...
... Chapter 8 , 1983 ) . This assumption is meant to essentially govern the local and micro - time behavior of qsset prices . But the sum of changes in the logarithms of prices is again Gaussian since convolutions of Gaussian distributions ...
Página 293
... chapter 3 of Kolb ( 1991 ) for a discussion of the empirical properties of futures contracts ) . Thus , the idea of using a volatility estimator that is a constant over the entire series has serious shortcomings . In this work we ...
... chapter 3 of Kolb ( 1991 ) for a discussion of the empirical properties of futures contracts ) . Thus , the idea of using a volatility estimator that is a constant over the entire series has serious shortcomings . In this work we ...
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