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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... computed by simulation and genetic optimization [ 7 ] . 7 ) We adopt the following hedging rule : if f ( i , j , k ) ... compute the hedging parameters by a numerical procedure whose implementation is given by the following steps : a ...
... computed by simulation and genetic optimization [ 7 ] . 7 ) We adopt the following hedging rule : if f ( i , j , k ) ... compute the hedging parameters by a numerical procedure whose implementation is given by the following steps : a ...
Página 77
... computed . n is computed as n = L * 2 [ 108 , m ] + J , ( 5 ) where m is the number of elements in the pattern vector , J is the number of detail time - scales desired , and L in the length of the filters { h } and { 9 } . The window at ...
... computed . n is computed as n = L * 2 [ 108 , m ] + J , ( 5 ) where m is the number of elements in the pattern vector , J is the number of detail time - scales desired , and L in the length of the filters { h } and { 9 } . The window at ...
Página 246
... computed from B. One can then compute λ = { A , B , II } . 2.3 Learning algorithm Baum and his colleagues [ Baum , 1972 ] proposed an elegant algorithm called the forward - backward procedure to calculate P ( VA ) . They also introduced ...
... computed from B. One can then compute λ = { A , B , II } . 2.3 Learning algorithm Baum and his colleagues [ Baum , 1972 ] proposed an elegant algorithm called the forward - backward procedure to calculate P ( VA ) . They also introduced ...
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