A Nonparametric Approach To Pricing And Hegging Derivattive Securities Via Learning Networks
Download A Nonparametric Approach To Pricing And Hegging Derivattive Securities Via Learning Networks full books in PDF, epub, and Kindle. Read online free A Nonparametric Approach To Pricing And Hegging Derivattive Securities Via Learning Networks ebook anywhere anytime directly on your device. Fast Download speed and no annoying ads. We cannot guarantee that every ebooks is available!
Author | : James M. Hutchinson |
Publisher | : |
Total Pages | : 51 |
Release | : 2004 |
Genre | : |
ISBN | : |
Download A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks Book in PDF, Epub and Kindle
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.
Author | : James M. Hutchinson |
Publisher | : |
Total Pages | : 68 |
Release | : 1994 |
Genre | : Derivative securities |
ISBN | : |
Download A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks Book in PDF, Epub and Kindle
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.
Author | : James M. Hutchinson |
Publisher | : |
Total Pages | : 49 |
Release | : 1994 |
Genre | : |
ISBN | : |
Download A nonparametric approach to pricing and hedging derivative securities via learning networks Book in PDF, Epub and Kindle
Author | : James M. Hutchinson |
Publisher | : |
Total Pages | : |
Release | : 1994 |
Genre | : |
ISBN | : |
Download A Nonparametric Approach to Pricing and Hegging Derivattive Securities Via Learning Networks Book in PDF, Epub and Kindle
Author | : Qi Li |
Publisher | : Emerald Group Publishing |
Total Pages | : 570 |
Release | : 2009-12-04 |
Genre | : Business & Economics |
ISBN | : 1849506248 |
Download Nonparametric Econometric Methods Book in PDF, Epub and Kindle
Contains a selection of papers presented initially at the 7th Annual Advances in Econometrics Conference held on the LSU campus in Baton Rouge, Louisiana during November 14-16, 2008. This work is suitable for those who wish to familiarize themselves with nonparametric methodology.
Author | : Mukarram H. Attari |
Publisher | : |
Total Pages | : 162 |
Release | : 1997 |
Genre | : Derivative securities |
ISBN | : |
Download Pricing and Hedging Derivative Securities Using Non-gaussian Distributions Book in PDF, Epub and Kindle
Author | : Shu-Heng Chen |
Publisher | : Springer Science & Business Media |
Total Pages | : 491 |
Release | : 2012-12-06 |
Genre | : Business & Economics |
ISBN | : 1461508355 |
Download Genetic Algorithms and Genetic Programming in Computational Finance Book in PDF, Epub and Kindle
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.
Author | : Kevin Dowd |
Publisher | : John Wiley & Sons |
Total Pages | : 395 |
Release | : 2003-02-28 |
Genre | : Business & Economics |
ISBN | : 0470855215 |
Download Measuring Market Risk Book in PDF, Epub and Kindle
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.
Author | : Jaydip Sen |
Publisher | : Cambridge Scholars Publishing |
Total Pages | : 405 |
Release | : 2022-10-11 |
Genre | : Computers |
ISBN | : 1527588858 |
Download Analysis and Forecasting of Financial Time Series Book in PDF, Epub and Kindle
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.
Author | : Sergio M. Focardi |
Publisher | : John Wiley & Sons |
Total Pages | : 306 |
Release | : 1997-01-15 |
Genre | : Business & Economics |
ISBN | : 9781883249120 |
Download Modeling the Market Book in PDF, Epub and Kindle
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.