ENGLISH

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

By Tharam Dillon , Elizabeth Chang (auth.) , Fahed Mostafa

Book information

Publisher
Springer International Publishing
Year
2017
ISBN
978-3-319-51666-0, 978-3-319-51668-4
DOI
10.1007/978-3-319-51668-4
Language
english
Format
PDF
Filesize
2 MB (2570513 bytes)
Series
Studies in Computational Intelligence 697
Edition
1
Pages
X, 171\177
Time added
2017-04-19 23:42:47
Computational Intelligence;Artificial Intelligence

Description

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.

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