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
... parameters are computed by simulation and genetic optimization [ 7 ] . 7 ) We adopt the following hedging rule : if f ( i , j , k ) > 0 , then rebalance the portfolio at time t ; so that the k - order partial derivative of the portfolio ...
... parameters are computed by simulation and genetic optimization [ 7 ] . 7 ) We adopt the following hedging rule : if f ( i , j , k ) > 0 , then rebalance the portfolio at time t ; so that the k - order partial derivative of the portfolio ...
Página 215
... parameters of the fuzzy system using numerical information . Adaptive fuzzy systems can be classified according to the type of the adjustable parameters . If the fuzzy logic system used in an adaptive system are linear in their ...
... parameters of the fuzzy system using numerical information . Adaptive fuzzy systems can be classified according to the type of the adjustable parameters . If the fuzzy logic system used in an adaptive system are linear in their ...
Página 223
... parameters through the GUI . The neural network param- eter definition process is divided into two steps : first , the user selects the topology of the network , including the num- ber of nodes in each layer and the activation functions ...
... parameters through the GUI . The neural network param- eter definition process is divided into two steps : first , the user selects the topology of the network , including the num- ber of nodes in each layer and the activation functions ...
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