Computational intelligence applications to option pricing, volatility forecasting and value at risk
Auteur :
Mostafa, Fahed / Dillon, Tharam / Chang, Elizabeth
Éditeur :
Springer International Publishing AG
ISBN :
9783319847139
Date de publication :
4 mai 2018
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Suisse
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.