Computational finance 1999 [[electronic resource] /] / edited by Yaser S. Abu-Mostafa ... [et al.]

• Pubblicazione: Cambridge, Mass., : MIT Press, c2000
• Descrizione fisica: 1 online resource (732 p.)
• Disciplina: 332/.0285
• Soggetto topico: Finance - Data processing; Finance - Mathematical models
• Altri autori: Abu-MostafaYaser S. <1957->
• Note generali: Description based upon print version of record.
• Nota di bibliografia: Includes bibliographical references and index.
• Nota di contenuto: ""Contents""; ""Preface""; ""Contributors""; ""Introduction""; ""Risk Management and Portfolio Optimization""; ""Importance Sampling and StratiEcation for Value-at-Risk""; ""ConEdence Intervals and Hypothesis Testing for the""; ""Sharpe and Treynor Performance Measures:""; ""A Bootstrap Approach""; ""Conditional Value at Risk""; ""Advances in Importance Sampling""; ""Arbitrage and the APTZA Note""; ""Bayesian Network Models of Portfolio Risk and Return""; ""Volatility""; ""Change of Measure in Monte Carlo Integration""; ""via Gibbs Sampling with an Application to"" ; ""Stochastic VolatilityModels""""Comparing Models of Intra daySeasonal Volatility""; ""in the Foreign Exchange Market""; ""A Symbolic Dynamics Approach to Volatility Prediction""; ""Does Volatility Timing Matter?""; ""Time Series Methods""; ""Goodness of FitG Stability and Data Mining""; ""A Bayesian Approach to Estimating Mutual Fund Returns""; ""Independent Component Ordering in ICS Snalysis""; ""of Financial Data""; ""Curved Gaussian Models with Spplication to Modeling""; ""Foreign Exchange Rates""; ""Nonparametric EJciency Testing of Ssian""; ""Foreign Exchange Markets"" ; ""Term Structure of Interactions of Foreign Exchange Rates""""Exchange Rates and FundamentalsÂ? Evidence from""; ""Out(of(Sample Forecasting Using Neural Networks""; ""Dynamic Trading Strategies""; ""Trading Models as Specimcation Tools""; ""Statistical Arbitrage Models of the FTSE JDD""; ""Implementing Trading Strategies for Forecasting Models""; ""Using Nonlinear Neurogenetic Models with Prokt Related""; ""Objective Functions to Trade the US THbond Future""; ""Parameter Tuning in Trading Algorithms Using ASTA""; ""Hedge Funds Styles"" ; ""Optimization ofTechnical Trading Strategy Using Split""""Search Genetic Algorithms""; ""Trading Mutual Funds with PieceMwise Constant Models""; ""Minimizing Downside Risk via Stochastic""; ""Dynamic Programming""; ""jn Optimal VinaryPredictor for an Investor""; ""in Futures Market""; ""jn Introduction to Risk Neutral Forecasting""; ""TemporalyDiyerence Learning and jpplications""; ""in Finance""; ""Heterogeneous Agents""; ""Technical Trading Creates a PrisonerCs DilemmaK""; ""Results from an Agentâ€?Based Model""; ""Cycles of Market Stability and Instability Due to"" ; ""Endogenous Use of Technical Trading Rules""""Relative Performance of Incentive Mechanisms in""; ""Delegated InvestmentsK A Computational Study""; ""Credit Risk""; ""Rules Extractions from BanksP Bankrupt Data Using""; ""Connectionist and Symbolic Learning Algorithms""; ""Evaluating Bank Lending Policy and Consumer""; ""Credit Risk""; ""Loan Duration and Bank Lending Policy""; ""Option Pricing""; ""Estimation of Stochastic Volatility Models for the Purpose""; ""of Option Pricing""; ""Option Pricing via Genetic Programming""; ""Nonparametric Testing of ARCH for Option Pricing"" ; ""A Computational Framework for Contingent Claim""
• Titolo autorizzato: Computational finance 1999
• ISBN: 0-262-29179-7; 0-262-26674-1; 0-585-37898-3
• Formato: Materiale a stampa
• Livello bibliografico: Monografia
• Lingua di pubblicazione: Inglese
• Record Nr.: 9910778843503321
• Lo trovi qui: Univ. Federico II