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 36
... interest rates the problem is straight forward and can be solved using any number of tools . However , recent growth in the number and types of securities with interest rate sensitive cashflows necessitates the use of decision tools ...
... interest rates the problem is straight forward and can be solved using any number of tools . However , recent growth in the number and types of securities with interest rate sensitive cashflows necessitates the use of decision tools ...
Página 39
... interest rate time j under interest rate scenario § . ( h = b for borrowing rate and 1 for lending rate ) P¦ ; ( E ) sales price ( h = s ) or purchase price ( h = b ) for one unit of asset i time j under interest rate scenario § ( price ...
... interest rate time j under interest rate scenario § . ( h = b for borrowing rate and 1 for lending rate ) P¦ ; ( E ) sales price ( h = s ) or purchase price ( h = b ) for one unit of asset i time j under interest rate scenario § ( price ...
Página 101
... interest rate , M as the ( constant ) nominal money supply , and assume that the good prices , P , are fixed during the relevant time interval . Suppose that gross investment , I , and savings , S , depend both on income and the interest ...
... interest rate , M as the ( constant ) nominal money supply , and assume that the good prices , P , are fixed during the relevant time interval . Suppose that gross investment , I , and savings , S , depend both on income and the interest ...
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