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 41
... occurs . This revised portfolio from the optimization model is then reevaluated using simulation analysis . From the simulation analysis , new expected parameters for each cash position category are derived , the optimization model re ...
... occurs . This revised portfolio from the optimization model is then reevaluated using simulation analysis . From the simulation analysis , new expected parameters for each cash position category are derived , the optimization model re ...
Página 183
... occurs whenever the bank changes either its bid or ask price . The time between ticks ranges from seconds to minutes . This is an expanded version of the time series used in the 1991 Santa Fe Time Series Competition [ 7 ] . 3 Markov ...
... occurs whenever the bank changes either its bid or ask price . The time between ticks ranges from seconds to minutes . This is an expanded version of the time series used in the 1991 Santa Fe Time Series Competition [ 7 ] . 3 Markov ...
Página 276
... occurs at the so called pattern unit in the form of N 1 p ( x | a ) = = Σexp ( - ( √√27022 ) n = 1 α x * xx 202n α where is the variance of the pattern unit x . Here , the density estimate of a special pattern , x is carried σ n out ...
... occurs at the so called pattern unit in the form of N 1 p ( x | a ) = = Σexp ( - ( √√27022 ) n = 1 α x * xx 202n α where is the variance of the pattern unit x . Here , the density estimate of a special pattern , x is carried σ n out ...
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