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 5
... estimate of the tracking error E ( V ( T ) ) and its variance Var ( V ( T ) ) . From these we constructed an estimate of the prediction error : n = e √E2 [ V ( T ) ] + Var [ V ( T ) ] ( 12 ) The estimated expected tracking error for a ...
... estimate of the tracking error E ( V ( T ) ) and its variance Var ( V ( T ) ) . From these we constructed an estimate of the prediction error : n = e √E2 [ V ( T ) ] + Var [ V ( T ) ] ( 12 ) The estimated expected tracking error for a ...
Página 240
... estimate for the error series . In this approach , another idea of error estimation is used : Instead of using the ... estimate for the first step , all elements are set to their expected value zero . This technique leads to a permanent ...
... estimate for the error series . In this approach , another idea of error estimation is used : Instead of using the ... estimate for the first step , all elements are set to their expected value zero . This technique leads to a permanent ...
Página 293
... estimate of the mean value subtracted from it ; 3 ) Additionally for every observation we calculate the variance as the estimate of the second moment minus the square of the first moment , and then take the square root to obtain the ...
... estimate of the mean value subtracted from it ; 3 ) Additionally for every observation we calculate the variance as the estimate of the second moment minus the square of the first moment , and then take the square root to obtain 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