Econometric methods for derivative securities and risk management

DOI10.1016/S0304-4076(99)00018-4zbMath0943.00024WikidataQ128132037 ScholiaQ128132037MaRDI QIDQ1969812

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Publication date: 21 August 2000

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Special issueRisk managementDerivative securitiesEconometric methods

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Proceedings, conferences, collections, etc. pertaining to statistics (62-06) Collections of articles of miscellaneous specific interest (00B15) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06)

Related Items (3)

European call price modelling using neural networks in considering volatility as stochastic with comparison to the Heston model ⋮ Hybrid method based on neural networks and Monte Carlo simulation in view of a tradeoff between accuracy and computational time ⋮ A neural network enhanced volatility component model

Cites Work

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• Learning from hints
• Nonparametric estimation of American options' exercise boundaries and call prices
• Multilayer feedforward networks are universal approximators
• American options with stochastic dividends and volatility: a nonparametric investigation
• Pricing Options On Risky Assets In A Stochastic Interest Rate Economy¹
• Artificial neural networks: an econometric perspective^∗
• On the Parametrization of the Afocal Stable Distributions
• Approximation by superpositions of a sigmoidal function

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