Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk 1

Data & IT

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

Fahed Mostafa • Tharam Dillon • Elizabeth Chang

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171 sidor
2017

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.

Författare: Fahed Mostafa, Tharam Dillon, Elizabeth Chang
Illustratör: Bibliographie
Format: Inbunden
ISBN: 9783319516660
Språk: Engelska
Antal sidor: 171
Utgivningsdatum: 2017-03-10
Förlag: Springer International Publishing AG