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 12
... volatility functions : a reprise NYU July 1999 Joshua V. Rosenberg Department of Finance Stern School of Business 44 West 4th Street , Suite 9-190 New York , New York 10012-1126 ( 212 ) ... Implied Volatility Functions: A Reprise Rosenberg.
... volatility functions : a reprise NYU July 1999 Joshua V. Rosenberg Department of Finance Stern School of Business 44 West 4th Street , Suite 9-190 New York , New York 10012-1126 ( 212 ) ... Implied Volatility Functions: A Reprise Rosenberg.
Página 13
... implied volatility function and other state variables is unspecified . Since the DVF approach has not been found to ... volatility function , which only incorporates the current underlying price ( S ) and time ( t ) as state variables ...
... implied volatility function and other state variables is unspecified . Since the DVF approach has not been found to ... volatility function , which only incorporates the current underlying price ( S ) and time ( t ) as state variables ...
Página 14
... implied volatilities . The dynamics of the state variables are modeled ... volatility from week to week ( DFW , p . 2081 ) . " An IVF model which ... implied volatilities . To this end , the DIVF is defined so that each option's implied ...
... implied volatilities . The dynamics of the state variables are modeled ... volatility from week to week ( DFW , p . 2081 ) . " An IVF model which ... implied volatilities . To this end , the DIVF is defined so that each option's implied ...
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