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 53
... con- tract between two parties , that is traded in the world's financial markets , much like common stocks or other entities ( e.g. commodities , currencies , etc. ) . We are concerned here with basic options , calls and puts and 53.
... con- tract between two parties , that is traded in the world's financial markets , much like common stocks or other entities ( e.g. commodities , currencies , etc. ) . We are concerned here with basic options , calls and puts and 53.
Página 58
... commodity undergoes . If we forecast incorrectly , we lose this amount . For ease of keeping track , we assume that our total capital on the first day is simply 1.0 , and that the entire accumulated capital is used in each trade . A ...
... commodity undergoes . If we forecast incorrectly , we lose this amount . For ease of keeping track , we assume that our total capital on the first day is simply 1.0 , and that the entire accumulated capital is used in each trade . A ...
Página 123
... commodity X , and assume that o2 can be decomposed into two parts , i.e. , the systematic part σ2 and the non - systematic part of , or simply , 02 = 02 + of . ( 1 ) Based on Equation ( 1 ) , the efficient market hypothesis ( EMH ) can ...
... commodity X , and assume that o2 can be decomposed into two parts , i.e. , the systematic part σ2 and the non - systematic part of , or simply , 02 = 02 + of . ( 1 ) Based on Equation ( 1 ) , the efficient market hypothesis ( EMH ) can ...
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