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

AvFahed Mostafa,Tharam Dillon

Häftad, Engelska, 2018

Del i serien Studies in Computational Intelligence

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Beskrivning

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.

Produktinformation

Utgivningsdatum:2018-05-04
Mått:155 x 235 x 11 mm
Vikt:289 g
Format:Häftad
Språk:Engelska
Serie:Studies in Computational Intelligence
Antal sidor:171
Förlag:Springer International Publishing AG
ISBN:9783319847139

Utforska kategorier

Ledarskap och motivation inom Ekonomi och Ledarskap
Artificiell intelligens inom Data och IT
Makroekonomi inom Ekonomi och Ledarskap

Recensioner i media

“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.