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 51
... respectively and n is the size of the time frame 2 Σ ( x ; - F ; ) 2 i = 1 ( 5 ) where x ; and ; denote the actual and predicted Xi values respectively and x ; denotes the mean of the actual data . The coefficient of determination is a ...
... respectively and n is the size of the time frame 2 Σ ( x ; - F ; ) 2 i = 1 ( 5 ) where x ; and ; denote the actual and predicted Xi values respectively and x ; denotes the mean of the actual data . The coefficient of determination is a ...
Página 164
... respectively at maturity time T. Similarly , Cf ( S ' , X ' ) and P ( S ' , X ' ) are the values at inception time t of European call and put options in the foreign currency ƒ on the domestic currency d with strike price X ...
... respectively at maturity time T. Similarly , Cf ( S ' , X ' ) and P ( S ' , X ' ) are the values at inception time t of European call and put options in the foreign currency ƒ on the domestic currency d with strike price X ...
Página 169
... respectively , with inception time t , expiration time T , barrier activation set E , and barrier b : Eb R + · ← The definitions of up and out barrier options of European , Bermudan and American styles are completely analogous except ...
... respectively , with inception time t , expiration time T , barrier activation set E , and barrier b : Eb R + · ← The definitions of up and out barrier options of European , Bermudan and American styles are completely analogous except ...
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