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E-book
Author Mostafa, Fahed, author

Title Computational intelligence applications to option pricing, volatility forecasting and value at risk / Fahed Mostafa, Tharam Dillon, Elizabeth Chang
Published Cham, Switzerland : Springer, 2017
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Description 1 online resource (x, 171 pages) : illustrations
Series Studies in computational intelligence, 1860-949X ; volume 697
Studies in computational intelligence ; v. 697. 1860-949X
Contents 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
Summary 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
Bibliography Includes bibliographical references
Notes Online resource; title from PDF title page (SpringerLink, viewed March 9, 2017)
Subject Computational intelligence.
Risk -- Computer simulation.
Form Electronic book
Author Chang, Elizabeth, author
Dillon, Tharam S., 1943- author
ISBN 3319516663
331951668X (electronic bk.)
9783319516660
9783319516684 (electronic bk.)
(print)