Fahed Mostafa,
Tharam Dillon,
Elizabeth Chang
Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk
Gebonden Engels 2017 9783319516660
Verwachte levertijd ongeveer 9 werkdagen
Samenvatting
This book demonstrates the power of neural networks in learning complex behavior from the underlying financial time series data. The results presented also show how neural networks can successfully be applied to volatility modeling, option pricing, and value-at-risk modeling. These features mean that they can be applied to market-risk problems to overcome classic problems associated with statistical models.
Specificaties
ISBN13:9783319516660
Taal:Engels
Bindwijze:gebonden
Uitgever:Springer International Publishing
Lezersrecensies
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Inhoudsopgave
CHAPTER 1 Introduction.- CHAPTER 2 Time Series Modelling.- CHAPTER 3 Options and Options Pricing Models.- CHAPTER 4 Neural Networks and Financial Forecasting.- CHAPTER 5 Important Problems in Financial Forecasting.- CHAPTER 6 Volatility Forecasting.- CHAPTER 7 Option Pricing.- CHAPTER 8 Value-at-Risk.- CHAPTER 9 Conclusion and Discussion.
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