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 61
... square err .96 .0764 profit .7147 .145 11 mean abs err .6722 .0347 mean square err .6775 .0369 profit .6318 .0903 15 mean abs err .9398 .0956 mean square err .6322 .0857 profit .685 .087 Table 2. Comparison of different stopping ...
... square err .96 .0764 profit .7147 .145 11 mean abs err .6722 .0347 mean square err .6775 .0369 profit .6318 .0903 15 mean abs err .9398 .0956 mean square err .6322 .0857 profit .685 .087 Table 2. Comparison of different stopping ...
Página 293
... square of the first moment , and then take the square root to obtain the standard deviation ( which in financial circles in the most common estimator for volatility ) ; 4 ) In the last step we use the corresponding estimate of the ...
... square of the first moment , and then take the square root to obtain the standard deviation ( which in financial circles in the most common estimator for volatility ) ; 4 ) In the last step we use the corresponding estimate of the ...
Página 296
... square minus the square of the mean . Thus investigated numerous combinations of dynamic models for the mean value and mean square ( which are the first and second moments , respectively . Models for the first moment are listed in Table ...
... square minus the square of the mean . Thus investigated numerous combinations of dynamic models for the mean value and mean square ( which are the first and second moments , respectively . Models for the first moment are listed in Table ...
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