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 13
Página 58
... Monte Carlo simulation . The linear and delta - gamma methods typically rely on an assumption that the underlying market risk factors have a normal ( Gaussian ) distribution over the VAR horizon . But there is ample empirical evidence ...
... Monte Carlo simulation . The linear and delta - gamma methods typically rely on an assumption that the underlying market risk factors have a normal ( Gaussian ) distribution over the VAR horizon . But there is ample empirical evidence ...
Página 60
... Monte Carlo , as we discuss next . 3. Fast Monte Carlo Estimation of VAR The transform inversion method presented above is very fast , but it is only as accurate as the underlying quadratic approximation . More accurate calculation of ...
... Monte Carlo , as we discuss next . 3. Fast Monte Carlo Estimation of VAR The transform inversion method presented above is very fast , but it is only as accurate as the underlying quadratic approximation . More accurate calculation of ...
Página 61
... Monte Carlo . Ordinary Monte Carlo would estimate the left side of ( 6 ) by randomly sampling scenarios from the multivariate t distribution and calculating the fraction of these scenarios in which L > x . Using our importance sampling ...
... Monte Carlo . Ordinary Monte Carlo would estimate the left side of ( 6 ) by randomly sampling scenarios from the multivariate t distribution and calculating the fraction of these scenarios in which L > x . Using our importance sampling ...
Contenido
Portfolio Management Session | 11 |
A Reprise | 12 |
A Fuzzy eNegotiation Agents System | 26 |
Derechos de autor | |
Otras 1 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
algorithm ANFIS applied approach approximation asset attractor behavior Black-Scholes Brownian motion calculated callable bond companies computational constraints CVaR decision defined delta denotes distribution dividend yield downside risk drift model dynamical system economic efficient frontier equation error estimation evaluate evolutionary algorithm example expected regret expected return expected shortfall exponential factors feature Figure financial engineering forecasting formulation fund exchange fuzzy logic Hurst exponent implied volatility input variables interest rate investors Journal Lazy Learning learning linear programming loss mathematical MaxLoss measure method methodology minimization Monte Carlo Neural Networks nonlinear normal obtained Operational Research optimization option pricing output P₁ paper parameters payoff performance PMRS portfolio prediction price derivatives probability problem profit random ratio risk management risk-neutral sample scenarios selection simulation skewed-t skewness solution statistical stochastic stock price Taylor series technique Technology term structure trading ranges variance vector vega volatility function volatility smile