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 46
Página 58
... distribution over the VAR horizon . But there is ample empirical evidence that market data is more accurately described by heavy- tailed distributions under which occasional very large market moves are more likely than a normal distribution ...
... distribution over the VAR horizon . But there is ample empirical evidence that market data is more accurately described by heavy- tailed distributions under which occasional very large market moves are more likely than a normal distribution ...
Página 134
... distribution function from European - style options . We introduce a skewed version of the Student - t distribution , which is known to provide a good fit to historical returns on many financial assets ( see Huisman - 1999 , Huisman ...
... distribution function from European - style options . We introduce a skewed version of the Student - t distribution , which is known to provide a good fit to historical returns on many financial assets ( see Huisman - 1999 , Huisman ...
Página 141
... distribution implied in option prices equals a skewed Student - t distribution . In this appendix we introduce this distribution . Most are familiar with the central Student - t distribution . Therefore , let us first consider the ...
... distribution implied in option prices equals a skewed Student - t distribution . In this appendix we introduce this distribution . Most are familiar with the central Student - t distribution . Therefore , let us first consider the ...
Contenido
Portfolio Management Session | 11 |
A Reprise | 12 |
A Fuzzy eNegotiation Agents System | 26 |
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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
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