Computational intelligence applications to option pricing, volatility forecasting and value at risk

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 modelin...

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Detalles Bibliográficos
Autores principales: Mostafa, Fahed, Dillon, Tharam, Chang, Elizabeth
Lenguaje:eng
Publicado: Springer 2017
Materias:
Engineering
Acceso en línea:https://dx.doi.org/10.1007/978-3-319-51668-4
http://cds.cern.ch/record/2258657
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author Mostafa, Fahed
Dillon, Tharam
Chang, Elizabeth
author_facet Mostafa, Fahed
Dillon, Tharam
Chang, Elizabeth
author_sort Mostafa, Fahed
collection CERN
description 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. .
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institution Organización Europea para la Investigación Nuclear
language eng
publishDate 2017
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spelling cern-22586572021-04-21T19:17:04Zdoi:10.1007/978-3-319-51668-4http://cds.cern.ch/record/2258657engMostafa, FahedDillon, TharamChang, ElizabethComputational intelligence applications to option pricing, volatility forecasting and value at riskEngineeringThe 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. .Springeroai:cds.cern.ch:22586572017
spellingShingle Engineering
Mostafa, Fahed
Dillon, Tharam
Chang, Elizabeth
Computational intelligence applications to option pricing, volatility forecasting and value at risk
title Computational intelligence applications to option pricing, volatility forecasting and value at risk
title_full Computational intelligence applications to option pricing, volatility forecasting and value at risk
title_fullStr Computational intelligence applications to option pricing, volatility forecasting and value at risk
title_full_unstemmed Computational intelligence applications to option pricing, volatility forecasting and value at risk
title_short Computational intelligence applications to option pricing, volatility forecasting and value at risk
title_sort computational intelligence applications to option pricing, volatility forecasting and value at risk
topic Engineering
url https://dx.doi.org/10.1007/978-3-319-51668-4
http://cds.cern.ch/record/2258657
work_keys_str_mv AT mostafafahed computationalintelligenceapplicationstooptionpricingvolatilityforecastingandvalueatrisk
AT dillontharam computationalintelligenceapplicationstooptionpricingvolatilityforecastingandvalueatrisk
AT changelizabeth computationalintelligenceapplicationstooptionpricingvolatilityforecastingandvalueatrisk

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