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 9
... derivatives with the em- phasis on lattice - based pricing models .. A standard way of pricing a derivative security is to compute the expected value in a risk - neutral world . The expected discounted value is taken over all possible ...
... derivatives with the em- phasis on lattice - based pricing models .. A standard way of pricing a derivative security is to compute the expected value in a risk - neutral world . The expected discounted value is taken over all possible ...
Página 157
... DERIVATIVE SECURITIES USING THE SYMBOLIC COMPUTATIONAL LANGUAGE MAPLE M. A. Milevsky and E. Z. Prisman * FOREIGN EXCHANGE OPTION SYMMETRY BASED ON DOMESTIC - FOREIGN PAYOFF. 1 ... taxes are largely a source of embarrass- ment to ...
... DERIVATIVE SECURITIES USING THE SYMBOLIC COMPUTATIONAL LANGUAGE MAPLE M. A. Milevsky and E. Z. Prisman * FOREIGN EXCHANGE OPTION SYMMETRY BASED ON DOMESTIC - FOREIGN PAYOFF. 1 ... taxes are largely a source of embarrass- ment to ...
Página 159
... derivative security which is an explicit function of S. Scholes ( 1976 ) argued that if the portfolio is con- structed by modifying the amount of stock held for each unit of derivative sold ; one can in theory create a riskless ...
... derivative security which is an explicit function of S. Scholes ( 1976 ) argued that if the portfolio is con- structed by modifying the amount of stock held for each unit of derivative sold ; one can in theory create a riskless ...
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