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
... step 3 ) . 5 ) At time t , and for i = 1 , 2 , ... , n , the hedger considers whether to adjust the portfolio weights so that the hedging relations are still satisfied , based on our computer simulation results . 6 ) The decision ...
... step 3 ) . 5 ) At time t , and for i = 1 , 2 , ... , n , the hedger considers whether to adjust the portfolio weights so that the hedging relations are still satisfied , based on our computer simulation results . 6 ) The decision ...
Página 103
... STEP 1 : Read the data set D = { d1 , d2 , dm } . STEP 2 : STEP 3 : Time Series Analysis of the set D to find the components . Find the set of Admissible models MA values of the time series components . = { M1 , M2 , Mq } , using the ...
... STEP 1 : Read the data set D = { d1 , d2 , dm } . STEP 2 : STEP 3 : Time Series Analysis of the set D to find the components . Find the set of Admissible models MA values of the time series components . = { M1 , M2 , Mq } , using the ...
Página 104
... STEP 1 : Read the mathematical model M. STEP 2 : Analyze the model M to " understand " its complexity . STEP 3 : Generate a set of admissible parameters AP using the initial " understanding " of the model . This set is generated using ...
... STEP 1 : Read the mathematical model M. STEP 2 : Analyze the model M to " understand " its complexity . STEP 3 : Generate a set of admissible parameters AP using the initial " understanding " of the model . This set is generated using ...
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