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© 2017

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

Book

Part of the Studies in Computational Intelligence book series (SCI, volume 697)

Table of contents

  1. Front Matter
    Pages i-x
  2. Fahed Mostafa, Tharam Dillon, Elizabeth Chang
    Pages 1-7
  3. Fahed Mostafa, Tharam Dillon, Elizabeth Chang
    Pages 9-30
  4. Fahed Mostafa, Tharam Dillon, Elizabeth Chang
    Pages 31-49
  5. Fahed Mostafa, Tharam Dillon, Elizabeth Chang
    Pages 51-80
  6. Fahed Mostafa, Tharam Dillon, Elizabeth Chang
    Pages 81-90
  7. Fahed Mostafa, Tharam Dillon, Elizabeth Chang
    Pages 91-112
  8. Fahed Mostafa, Tharam Dillon, Elizabeth Chang
    Pages 113-135
  9. Fahed Mostafa, Tharam Dillon, Elizabeth Chang
    Pages 137-147
  10. Fahed Mostafa, Tharam Dillon, Elizabeth Chang
    Pages 149-158
  11. Back Matter
    Pages 159-171

About this book

Introduction

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 modeling. These features allow them to be applied to market risk problems to overcome classical issues associated with statistical models. 

Keywords

Computational Intelligence Hedging Market Risks Neural Networks Option Pricing Model Value at Risk Volatility Models

Authors and affiliations

  1. 1.Department of Computer Science and Computer EngineeringLa Trobe UniversityBundooraAustralia
  2. 2.Department of Computer Science and Computer EngineeringLa Trobe UniversityBundooraAustralia
  3. 3.School of BusinessUniversity of New South WalesCanberra, ACTAustralia

Bibliographic information

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Reviews

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