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

DOI10.1007/978-3-319-51668-4zbMath1410.91004OpenAlexW2592549843MaRDI QIDQ1683384

Fahed Mostafa, Elizabeth Chang, Tharam Singh Dillon

Publication date: 8 December 2017

Published in: Studies in Computational Intelligence (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-51668-4

zbMATH Keywords

neural networksoption pricingmarket riskvolatility forecastingtime series modelscomputation intelligenceBlack-Scholes implied volatilityGARCH, EGARCH and mixture density modelshedging and portfolio risk management

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10) Software, source code, etc. for problems pertaining to game theory, economics, and finance (91-04)

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