Proceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering (CIFEr): March 28-30, 1999, New York CityInternational Association of Financial Engineers IEEE, 1999 - 322 páginas |
Contenido
A New Method for Estimating ValueatRisk of Brady Bond Portfolios | 1 |
A New Method for Adaptive ModelBased Control | 17 |
A MultiAgent Hybrid Architecture | 64 |
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
algorithm analysis applied approach approximation average best hedge binomial tree Black's model British pound C-level co-moments component asset computed confidence levels considered contract correlation currency data set DEM/USD density derived deviation dynamic Equation evaluation exchange rate extension option Figure function futures contract futures options fuzzy genetic algorithm hedge effectiveness i-th in-sample Independent Component Independent Component Analysis input interest rates Japanese yen kernel linear method methodology mixture densities mixture distributions mixture model Mixture-VaR moneyness MWAE neural network non-linear non-normal normally distributed nTRP nVaR observations optimal option prices out-of-sample overfitting p-values parameters performance prediction pricing errors probability problem regression risk contribution risk factors risk management risk measures risk-neutral RiskMetrics sample scenario simulation simulation-based single Gaussian single normal standard statistical strike prices Subperiods subsample SVaR Table Underest valuation Value-at-Risk Var(v Var(v-b variables variance vector volatility weight sets дх
Información bibliográfica
| Título | Proceedings of the IEEE/IAFE 1999 Conference on Computational Intelligence for Financial Engineering (CIFEr): March 28-30, 1999, New York City |
| Editor | International Association of Financial Engineers |
| Colaborador | IEEE Neural Networks Council |
| Edición | ilustrada |
| Editor | IEEE, 1999 |
| Procedencia del original | Universidad de Michigan |
| Digitalizado | 11 Ene. 2008 |
| ISBN | 0780356632, 9780780356634 |
| Largo | 322 páginas |
| Exportar cita | BiBTeX EndNote RefMan |