Mostafa / Dillon / Chang Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk

1. Auflage 2017
ISBN: 978-3-319-51668-4
Verlag: Springer International Publishing
Format: PDF
Kopierschutz: 1 - PDF Watermark

E-Book, Englisch, Band 697, 171 Seiten, eBook

Reihe: Studies in Computational Intelligence

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.

Zielgruppe

Research

Autoren/Hrsg.

Mostafa, Fahed

Dillon, Tharam

Chang, Elizabeth

Inhaltsverzeichnis

CHAPTER 1 Introduction.- CHAPTER 2 Time Series Modelling.- CHAPTER 3 Options and Options Pricing Models.- CHAPTER 4 Neural Networks and Financial Forecasting.- CHAPTER 5 Important Problems in Financial Forecasting.- CHAPTER 6 Volatility Forecasting.- CHAPTER 7 Option Pricing.- CHAPTER 8 Value-at-Risk.- CHAPTER 9 Conclusion and Discussion.