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

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

by Fahed MostafaElizabeth Chang and Tharam Dillon
Paperback
Publication Date: 24/03/2019

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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.
ISBN:
9783319847139
9783319847139
Category:
Artificial intelligence
Format:
Paperback
Publication Date:
24-03-2019
Publisher:
Springer International Publishing AG
Country of origin:
Switzerland
Pages:
171
Dimensions (mm):
235x155mm
Weight:
0.45kg

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