Neural network calibrated stochastic processes: forecasting financial assets

DOI10.1007/s10100-011-0234-3zbMath1397.62411OpenAlexW2085223064MaRDI QIDQ1788897

Martin Rainer, Stefan Giebel

Publication date: 9 October 2018

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-011-0234-3

zbMATH Keywords

neural networksstochastic processesincomplete marketscalibrationforecastingregressionfinancial assets

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Neural nets and related approaches to inference from stochastic processes (62M45)

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Cites Work

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• Mathematical Finance
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