Computational intelligence applications to option pricing, volatility forecasting and value at risk

• Main Authors: Mostafa, Fahed (Author), Dillon, Tharam S., 1943- (Author), Chang, Elizabeth (Author)
• Format: Electronic eBook
• Language: English
• Published: Cham, Switzerland : Springer, 2017.
• Series: Studies in computational intelligence ; v. 697.
• Subjects: Computational intelligence.; Risk > Computer simulation.; elektronické knihy; electronic books
• ISBN: 9783319516684; 9783319516660
• ISSN: 1860-949X ;
• Physical Description: 1 online resource (x, 171 pages) : illustrations

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 modelin...

Table of 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.