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 |
Dentro del libro
Resultados 1-3 de 57
Página 172
... Future Underlying Prices Let S , designate the price of an underlying at time t . We are interested in the price of the underlying at a future time T , i.e. , ST . Let L = T - t , the length of time between t and T. Divide L into n ...
... Future Underlying Prices Let S , designate the price of an underlying at time t . We are interested in the price of the underlying at a future time T , i.e. , ST . Let L = T - t , the length of time between t and T. Divide L into n ...
Página 195
... future returns . Secondly , we are interested in the relation between the predictive impact of the indicators and the state of the market at the time the predictions are made . Using monthly financial market information on the ...
... future returns . Secondly , we are interested in the relation between the predictive impact of the indicators and the state of the market at the time the predictions are made . Using monthly financial market information on the ...
Página 281
... future . Specifically , the index is constructed as follows . = First , the number of trading days to expiration is defined as N , N. - 2 x int ( N7 ) . Then the calendar - day implied volatility is transformed to a trading - day ...
... future . Specifically , the index is constructed as follows . = First , the number of trading days to expiration is defined as N , N. - 2 x int ( N7 ) . Then the calendar - day implied volatility is transformed to a trading - day ...
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 | |
Otras 16 secciones no mostradas
Otras ediciones - Ver todas
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