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 39
... presented in Table 1 . Table 1 : Simulation Model Variables Variable Description r * ( § ) one - period interest rate time j under interest rate scenario § . ( h = b for borrowing rate and 1 for lending rate ) P¦ ; ( E ) sales price ( h ...
... presented in Table 1 . Table 1 : Simulation Model Variables Variable Description r * ( § ) one - period interest rate time j under interest rate scenario § . ( h = b for borrowing rate and 1 for lending rate ) P¦ ; ( E ) sales price ( h ...
Página 178
... presented for minimizing the ML - equation and thus for estimating the time - dependent volatility . The results of the GARCH model and the neu- ral network are compared with each other . The compari- son shows that for the timeseries ...
... presented for minimizing the ML - equation and thus for estimating the time - dependent volatility . The results of the GARCH model and the neu- ral network are compared with each other . The compari- son shows that for the timeseries ...
Página 214
... presented here is based on the mechanics of natural evolution using a parallel genetic algorithm . 2. Genetic Algorithms Genetic Algorithms ( GAs ) are search and optimisation methods based on the mechanics of natural genetics . A ...
... presented here is based on the mechanics of natural evolution using a parallel genetic algorithm . 2. Genetic Algorithms Genetic Algorithms ( GAs ) are search and optimisation methods based on the mechanics of natural genetics . A ...
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