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

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

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


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Summary

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.

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

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

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.

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

The book describes how to deal with the different sorts of nancial 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 nancial market risk and is of considerable importance to practitioners in the eld. (Yuliya S. Mishura, zbMath 1410.91004, 2019)

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.

Additional information

NPB9783319516660
9783319516660
3319516663
Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk by Fahed Mostafa
New
Hardback
Springer International Publishing AG
2017-03-10
171
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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