Download or read book A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks written by James M. Hutchinson and published by . This book was released on 2004 with total page 51 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a nonparametric method for estimating the pricing formula of a derivative asset using learning networks. Although not a substitute for the more traditional arbitrage-based pricing formulas, network pricing formulas may be more accurate and computationally more efficient alternatives when the underlying asset's price dynamics are unknown, or when the pricing equation associated with no-arbitrage condition cannot be solved analytically. To assess the potential value of network pricing formulas, we simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis function networks, multilayer perceptron networks, and projection pursuit. To illustrate the practical relevance of our network pricing approach, we apply it to the pricing and delta-hedging of Samp;P 500 futures options from 1987 to 1991.
Download or read book A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks written by James M. Hutchinson and published by . This book was released on 1994 with total page 68 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a nonparametric method for estimating derivative financial asset pricing formulae using learning networks. To demonstrate feasibility, we first simulate Black-Scholes option prices and show that learning networks can recover the Black-Scholes formula from a two-year training set of daily options prices, and that the resulting network formula can be used successfully to both price and delta-hedge options out-of-sample. For comparison, we estimate models using four popular methods: ordinary least squares, radial basis functions, multilayer perceptrons, and projection pursuit. To illustrate practical relevance, we also apply our approach to S & P 500 futures options data from 1987 to 1991. Option pricing, Learning, Finance, Black-Scholes, Hedging.
Download or read book A nonparametric approach to pricing and hedging derivative securities via learning networks written by James M. Hutchinson and published by . This book was released on 1994 with total page 49 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Nonparametric Approach to Pricing and Hegging Derivattive Securities Via Learning Networks written by James M. Hutchinson and published by . This book was released on 1994 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Pricing and Hedging Derivative Securities Using Non gaussian Distributions written by Mukarram H. Attari and published by . This book was released on 1997 with total page 162 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Genetic Algorithms and Genetic Programming in Computational Finance written by Shu-Heng Chen and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 491 pages. Available in PDF, EPUB and Kindle. Book excerpt: After a decade of development, genetic algorithms and genetic programming have become a widely accepted toolkit for computational finance. Genetic Algorithms and Genetic Programming in Computational Finance is a pioneering volume devoted entirely to a systematic and comprehensive review of this subject. Chapters cover various areas of computational finance, including financial forecasting, trading strategies development, cash flow management, option pricing, portfolio management, volatility modeling, arbitraging, and agent-based simulations of artificial stock markets. Two tutorial chapters are also included to help readers quickly grasp the essence of these tools. Finally, a menu-driven software program, Simple GP, accompanies the volume, which will enable readers without a strong programming background to gain hands-on experience in dealing with much of the technical material introduced in this work.
Download or read book Measuring Market Risk written by Kevin Dowd and published by John Wiley & Sons. This book was released on 2003-02-28 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most up-to-date resource on market risk methodologies Financial professionals in both the front and back office require an understanding of market risk and how to manage it. Measuring Market Risk provides this understanding with an overview of the most recent innovations in Value at Risk (VaR) and Expected Tail Loss (ETL) estimation. This book is filled with clear and accessible explanations of complex issues that arise in risk measuring-from parametric versus nonparametric estimation to incre-mental and component risks. Measuring Market Risk also includes accompanying software written in Matlab—allowing the reader to simulate and run the examples in the book.
Download or read book Analysis and Forecasting of Financial Time Series written by Jaydip Sen and published by Cambridge Scholars Publishing. This book was released on 2022-10-11 with total page 405 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book brings together real-world cases illustrating how to analyse volatile financial time series in order to provide a better understanding of their past behavior and robust forecasting of their future behavioural patterns. Using time series data from diverse financial sectors, it shows how the concepts and techniques of statistical analysis, machine learning, and deep learning are applied to build robust predictive models, as well as the ways in which these models can be used for forecasting the future prices of stocks and constructing profitable portfolios of investments. All the concepts and methods used in the book have been implemented using Python and R languages on TensorFlow and Keras frameworks. The volume will be particularly useful for advanced postgraduate and doctoral students of finance, economics, econometrics, statistics, data science, computer science, and information technology.
Download or read book Modeling the Market written by Sergio M. Focardi and published by John Wiley & Sons. This book was released on 1997-01-15 with total page 306 pages. Available in PDF, EPUB and Kindle. Book excerpt: The authors have done an admirable job...This book is a revealing and fascinating glimpse of the technologies which may rule the financial world in the years to come. --The Financial Times, February 1997 [This] new book looks at the progress made, both in practice and in theory, toward producing a usable model of the market. Some of the theoretical foundations of efficient market theory are being demolished.
Download or read book Construction Scheduling Cost Optimization and Management written by Hojjat Adeli and published by CRC Press. This book was released on 2001-01-25 with total page 339 pages. Available in PDF, EPUB and Kindle. Book excerpt: Construction Scheduling, Cost Optimization and Management presents a general mathematical formula for the scheduling of construction projects. Using this formula, repetitive and non-repetitive tasks, work continuity considerations, multiple-crew strategies, and the effects of varying job conditions on the performance of a crew can be modelled. This book presents an entirely new approach to the construction scheduling problem. It provides a practical methodology which will be of great benefit to all those involved in construction scheduling and cost optimization, including construction engineers, highway engineers, transportation engineers, contractors and architects. It will also be useful for researchers, and graduates on courses in construction scheduling and planning.
Download or read book Advances in Economics and Econometrics written by Econometric Society. World Congress and published by Cambridge University Press. This book was released on 2013-05-27 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: The third volume of edited papers from the Tenth World Congress of the Econometric Society 2010.
Download or read book Advances in Economics and Econometrics Volume 3 Econometrics written by Daron Acemoglu and published by Cambridge University Press. This book was released on 2013-05-13 with total page 633 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is the third of three volumes containing edited versions of papers and commentaries presented at invited symposium sessions of the Tenth World Congress of the Econometric Society, held in Shanghai in August 2010. The papers summarize and interpret key developments in economics and econometrics, and they discuss future directions for a wide variety of topics, covering both theory and application. Written by the leading specialists in their fields, these volumes provide a unique, accessible survey of progress on the discipline. The first volume primarily addresses economic theory, with specific focuses on nonstandard markets, contracts, decision theory, communication and organizations, epistemics and calibration, and patents.
Download or read book Financial Econometrics Mathematics and Statistics written by Cheng-Few Lee and published by Springer. This book was released on 2019-06-03 with total page 655 pages. Available in PDF, EPUB and Kindle. Book excerpt: This rigorous textbook introduces graduate students to the principles of econometrics and statistics with a focus on methods and applications in financial research. Financial Econometrics, Mathematics, and Statistics introduces tools and methods important for both finance and accounting that assist with asset pricing, corporate finance, options and futures, and conducting financial accounting research. Divided into four parts, the text begins with topics related to regression and financial econometrics. Subsequent sections describe time-series analyses; the role of binomial, multi-nomial, and log normal distributions in option pricing models; and the application of statistics analyses to risk management. The real-world applications and problems offer students a unique insight into such topics as heteroskedasticity, regression, simultaneous equation models, panel data analysis, time series analysis, and generalized method of moments. Written by leading academics in the quantitative finance field, allows readers to implement the principles behind financial econometrics and statistics through real-world applications and problem sets. This textbook will appeal to a less-served market of upper-undergraduate and graduate students in finance, economics, and statistics.
Download or read book Machine Learning for Asset Management written by Emmanuel Jurczenko and published by John Wiley & Sons. This book was released on 2020-07-16 with total page 460 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book A Primer on Business Analytics written by Yudhvir Seetharam and published by IAP. This book was released on 2022-01-01 with total page 155 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book will provide a comprehensive overview of business analytics, for those who have either a technical background (quantitative methods) or a practitioner business background. Business analytics, in the context of the 4th Industrial Revolution, is the “new normal” for businesses that operate in this digital age. This book provides a comprehensive primer and overview of the field (and related fields such as Business Intelligence and Data Science). It will discuss the field as it applies to financial institutions, with some minor departures to other industries. Readers will gain understanding and insight into the field of data science, including traditional as well as emerging techniques. Further, many chapters are dedicated to the establishment of a data-driven team – from executive buy-in and corporate governance to managing and quantifying the return of data-driven projects.
Download or read book Peter Carr Gedenkschrift Research Advances In Mathematical Finance written by Robert A Jarrow and published by World Scientific. This book was released on 2023-11-10 with total page 866 pages. Available in PDF, EPUB and Kindle. Book excerpt: This Gedenkschrift for Peter Carr, our dear friend and colleague who suddenly left us on March 1, 2022, was organized to honor the life and lasting contributions of Peter to Quantitative Finance. A group of Peter's co-authors and professional friends contributed chapters for this Gedenkschrift shortly after his passing. The papers were received by September 15, 2022 and some were presented at the Peter Carr Gedenkschrift Conference held at the Robert H Smith School of Business on November 11, 2022. The contributed papers cover a wide range of topics corresponding to the vast range of Peter's interests. Each paper represents new research results in recognition of Peter's scholarly activities. The book serves as an important marker for the research knowledge existing at the time of the Gedenkschrift's publication on a number of topics within quantitative finance. It reflects the diverse interactions between mathematics and finance and illustrates, for those interested, the breadth and depth of this development. The book also presents a collection of tributes to Peter from family and friends including those made at his Memorial Service on March 19, 2022. The result is hopefully a more complete testament to a personal and professional life well lived, and unexpectedly cut short.
Download or read book Pricing and Hedging Derivative Securities with Neutral Networks and a Homogeneity Hint written by René Garcia and published by . This book was released on 1998 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
