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 281
... contract on the volatility index would be cash settled with a dollar multiplier of $ 50,000 to arrive at contract value . For example , a change in the index from a volatility level of 15 % to 16 % would represent a dollar change of ...
... contract on the volatility index would be cash settled with a dollar multiplier of $ 50,000 to arrive at contract value . For example , a change in the index from a volatility level of 15 % to 16 % would represent a dollar change of ...
Página 293
... contracts it has been observed that the volatility increases as the expiration date of the contract approaches , i . e . the Samuelson effect ( see chapter 3 of Kolb ( 1991 ) for a discussion of the empirical properties of futures contracts ) ...
... contracts it has been observed that the volatility increases as the expiration date of the contract approaches , i . e . the Samuelson effect ( see chapter 3 of Kolb ( 1991 ) for a discussion of the empirical properties of futures contracts ) ...
Página 298
... contracts were investigated such that each contract had at least six different delivery dates . In the first stage of the analysis we investigated the following properties of the original raw price series : gaussianity , stationarity ...
... contracts were investigated such that each contract had at least six different delivery dates . In the first stage of the analysis we investigated the following properties of the original raw price series : gaussianity , stationarity ...
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 |
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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