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Title
Computational intelligence applications to option pricing, volatility forecasting and value at risk / Fahed Mostafa, Tharam Dillon, Elizabeth Chang.
ISBN
9783319516684 (electronic book)
331951668X (electronic book)
9783319516660
Published
Cham, Switzerland : Springer, 2017.
Language
English
Description
1 online resource (x, 171 pages) : illustrations.
Item Number
10.1007/978-3-319-51668-4 doi
Call Number
Q342
Dewey Decimal Classification
006.3
Summary
The results in this book demonstrate the power of neural networks in learning complex behavior from the underlying financial time series data . The results in this book also demonstrate how neural networks can successfully be applied to volatility modeling, option pricings, and value at risk modeling. These features allow them to be applied to market risk problems to overcome classical issues associated with statistical models. .
Bibliography, etc. Note
Includes bibliographical references.
Access Note
Access limited to authorized users.
Digital File Characteristics
text file PDF
Source of Description
Online resource; title from PDF title page (SpringerLink, viewed March 9, 2017).
Series
Studies in computational intelligence ; v. 697.
Available in Other Form
Print version: 9783319516660
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.