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Mostafa / Dillon / Chang

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

1st ed. 2017. Buch. x, 171 S.: 23 s/w-Abbildungen, Bibliographien. Hardcover
Springer ISBN 978-3-319-51666-0
Format (B x L): 15,5 x 23,5 cm
Gewicht: 444 g
In englischer Sprache
Das Werk ist Teil der Reihe:
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.
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Webcode: beck-shop.de/bqabdl
Presents an in-depth analysis of neural-network research in financial time series Addresses various issues concerning neural network modeling in market risk Explains and demonstrates how neural networks can overcome shortcomings in statistical time series modeling