Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk (inbunden)
Format
Inbunden (Hardback)
Språk
Engelska
Antal sidor
171
Utgivningsdatum
2017-03-10
Upplaga
1st ed. 2017
Förlag
Springer International Publishing AG
Medarbetare
Dillon, Tharam / Chang, Elizabeth
Illustratör/Fotograf
Bibliographie
Illustrationer
23 Illustrations, black and white; X, 171 p. 23 illus.
Dimensioner
234 x 156 x 13 mm
Vikt
436 g
Antal komponenter
1
Komponenter
1 Hardback
ISBN
9783319516660
Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk (inbunden)

Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk

Inbunden Engelska, 2017-03-10
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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.
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"The book describes how to deal with the different sorts of financial market risk. ... The book can be used by advanced undergraduate students and graduate students in its entirety. It is also interesting for the specialists in financial market risk and is of considerable importance to practitioners in the field." (Yuliya S. Mishura, zbMath 1410.91004, 2019)

Innehållsförteckning

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.