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 30
... Objective Function and Genetic Optimization The hedging parameters must be determined according to the investment objective of the hedger . The investment objective can be represented by an objective distribution of portfolio returns ...
... Objective Function and Genetic Optimization The hedging parameters must be determined according to the investment objective of the hedger . The investment objective can be represented by an objective distribution of portfolio returns ...
Página 31
... objective function is U $ 156.3 . We show in figure 2 and 3 the distributions obtained by standard delta - hedging at all times t ; and by delta - hedging only at the initial time to , where their objective functions are U = - $ 167.1 ...
... objective function is U $ 156.3 . We show in figure 2 and 3 the distributions obtained by standard delta - hedging at all times t ; and by delta - hedging only at the initial time to , where their objective functions are U = - $ 167.1 ...
Página 301
... objective functions U ( ) such as profit , wealth , utility functions of wealth , or performance ratios like the Sharpe ratio . Sharpe ratios will be discussed in section 5. The simplest and most natural objective function for a risk ...
... objective functions U ( ) such as profit , wealth , utility functions of wealth , or performance ratios like the Sharpe ratio . Sharpe ratios will be discussed in section 5. The simplest and most natural objective function for a risk ...
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