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 126
... depends on the moments of the probability distribution of πt , i.e. , 1 Eu , ; t ≈ 4 ( 0 ) + $ ′ ( 0 ) Eπj ; t + 1⁄2 ¢ ̈ ( 0 ) Ex } , t ( 14 ) Solving the first and the second moment of Equation ( 14 ) , we can rewrite the expected ...
... depends on the moments of the probability distribution of πt , i.e. , 1 Eu , ; t ≈ 4 ( 0 ) + $ ′ ( 0 ) Eπj ; t + 1⁄2 ¢ ̈ ( 0 ) Ex } , t ( 14 ) Solving the first and the second moment of Equation ( 14 ) , we can rewrite the expected ...
Página 157
... depend on the cost basis of that particular security . This is because tax liability depends on profit , and profit is a function of purchasing price . In fact , to make matters worse , in some cases the after - tax cash flows depend on ...
... depend on the cost basis of that particular security . This is because tax liability depends on profit , and profit is a function of purchasing price . In fact , to make matters worse , in some cases the after - tax cash flows depend on ...
Página 242
... depends very strongly on the given time series . As an average over all tested models it can be said that a quota of about 20 % of the models have been identified correctly . To improve the frequency of correct identifications ...
... depends very strongly on the given time series . As an average over all tested models it can be said that a quota of about 20 % of the models have been identified correctly . To improve the frequency of correct identifications ...
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