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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Resultados 1-3 de 51
Página 163
... determined cio , o ) ( i , j , ) - - ( 2 ) In the nodes ( N − 1 , j ) ; j = 0..2N - 1 the next periods tax liability is explicitly incorporated into the system of equation . In all the nodes prior to ( N − 1 , j ) , the tax liability ...
... determined cio , o ) ( i , j , ) - - ( 2 ) In the nodes ( N − 1 , j ) ; j = 0..2N - 1 the next periods tax liability is explicitly incorporated into the system of equation . In all the nodes prior to ( N − 1 , j ) , the tax liability ...
Página 178
... determine ŷ ( t ) in the output layer L , the following correction term is used : ¿ L ) ( t ) = g ' ( i ) ( t ) ) · ( y ( t ) − ŷ ( t ) ) · - 1 ( 6 ) h ( t ) The conditional variance h ( t ) is determined by the follow- ing correction ...
... determine ŷ ( t ) in the output layer L , the following correction term is used : ¿ L ) ( t ) = g ' ( i ) ( t ) ) · ( y ( t ) − ŷ ( t ) ) · - 1 ( 6 ) h ( t ) The conditional variance h ( t ) is determined by the follow- ing correction ...
Página 260
... determined from historical analysis . Methodology , Figure 1 .: Monte - Carlo analysis takes into account the nature of the random variations in the market rates to determine the statistics of the performance measures such as the ...
... determined from historical analysis . Methodology , Figure 1 .: Monte - Carlo analysis takes into account the nature of the random variations in the market rates to determine the statistics of the performance measures such as 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 | |
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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