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 16
Página 150
... longer time scales . To account for the observed structures , we propose state space models for financial time series in which the observed price is a noisy version of an unobserved , less - noisy " true price " process . The " true ...
... longer time scales . To account for the observed structures , we propose state space models for financial time series in which the observed price is a noisy version of an unobserved , less - noisy " true price " process . The " true ...
Página 155
... longer time scales . These results may be model - dependent and should be considered preliminary . However , they suggest that " true price " models may be effective in uncovering underlying structure that is obscured by addi- tive ...
... longer time scales . These results may be model - dependent and should be considered preliminary . However , they suggest that " true price " models may be effective in uncovering underlying structure that is obscured by addi- tive ...
Página 161
... longer the life of the option , the less realistic it is to assume that no taxes are paid on the underlying security . For example , if there are two different tax due - dates for the option , the functional form , in equation ( 7 ) ...
... longer the life of the option , the less realistic it is to assume that no taxes are paid on the underlying security . For example , if there are two different tax due - dates for the option , the functional form , in equation ( 7 ) ...
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