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 46
Página 29
... portfolio departs substantially from the guaranteed riskless return of the Black - Scholes model . In a realistic scenario , investors wanting to hedge their portfolios are often faced with the problem of finding a tradeoff strategy ...
... portfolio departs substantially from the guaranteed riskless return of the Black - Scholes model . In a realistic scenario , investors wanting to hedge their portfolios are often faced with the problem of finding a tradeoff strategy ...
Página 41
... portfolio at time T so ending cash position can be evaluated at expected market prices . The optimization model uses the aggregated asset , rate and external cashflow information from the initial portfolio to select a revised portfolio ...
... portfolio at time T so ending cash position can be evaluated at expected market prices . The optimization model uses the aggregated asset , rate and external cashflow information from the initial portfolio to select a revised portfolio ...
Página 302
... Portfolios 3.1 Portfolios : Continuous Quantities of Multiple Assets When the risk - free rate of return r is included in single risky - asset trading models above , one actually has a simple two asset portfolio . For trading multiple ...
... Portfolios 3.1 Portfolios : Continuous Quantities of Multiple Assets When the risk - free rate of return r is included in single risky - asset trading models above , one actually has a simple two asset portfolio . For trading multiple ...
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