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

Fahed Mostafa, Tharam Dillon, Elizabeth Chang (Autoren)

Buch | Softcover

X, 171 Seiten

2018 | Softcover reprint of the original 1st ed. 2017
Springer International Publishing (Verlag)
9783319847139 (ISBN)

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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.

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.

"The book describes how to deal with the different sorts of financial market risk. ... The book can be used by advanced undergraduate students and graduate students in its entirety. It is also interesting for the specialists in financial market risk and is of considerable importance to practitioners in the field." (Yuliya S. Mishura, zbMath 1410.91004, 2019)

“The book describes how to deal with the different sorts of ﬁnancial market risk. … The book can be used by advanced undergraduate students and graduate students in its entirety. It is also interesting for the specialists in ﬁnancial market risk and is of considerable importance to practitioners in the ﬁeld.” (Yuliya S. Mishura, zbMath 1410.91004, 2019)

Erscheinungsdatum	26.07.2018
Reihe/Serie	Studies in Computational Intelligence
Zusatzinfo	X, 171 p. 23 illus.
Verlagsort	Cham
Sprache	englisch
Maße	155 x 235 mm
Gewicht	290 g
Themenwelt	Informatik ► Theorie / Studium ► Künstliche Intelligenz / Robotik
Themenwelt	Technik
Schlagworte	Computational Intelligence • Hedging • Market Risks • Neural networks • Option Pricing Model • Value at risk • Volatility Models
ISBN-13	9783319847139 / 9783319847139
Zustand	Neuware