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 |
Dentro del libro
Resultados 1-3 de 41
Página 52
... contains the input vectors , which precede an increase of the index volatility in excess of 16.5 % . The same set contains input vectors , which precede absolute change less than , or equal , to 16.5 % , and the down set contains input ...
... contains the input vectors , which precede an increase of the index volatility in excess of 16.5 % . The same set contains input vectors , which precede absolute change less than , or equal , to 16.5 % , and the down set contains input ...
Página 80
... contains the added trouble of missing values . Approximately 1 % of the values are missing . Missing values are replaced with the last known value . Additionally , when constructing our multiresolution data sets , if any window of the ...
... contains the added trouble of missing values . Approximately 1 % of the values are missing . Missing values are replaced with the last known value . Additionally , when constructing our multiresolution data sets , if any window of the ...
Página 169
... contains an exercise time set E satisfying t < to < t1 < ... < tn - 1 < tn = T when the option is of Bermudan style and contains the interval [ t , T ] when the option is of American style . = In the foreign exchange market in which the ...
... contains an exercise time set E satisfying t < to < t1 < ... < tn - 1 < tn = T when the option is of Bermudan style and contains the interval [ t , T ] when the option is of American style . = In the foreign exchange market in which the ...
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 | |
Otras 16 secciones no mostradas
Otras ediciones - Ver todas
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