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

丛 书 名：Studies in Computational Intelligence

版本说明：1st ed. 2017

作     者：Fahed Mostafa Tharam Dillon Elizabeth Chang 

I S B N：(纸本) 9783319516660 

出 版 社：Springer International Publishing 

出 版 年：2017年

主 题 词：Computational intelligence. Risk 

学科分类：12[管理学] 02[经济学] 0202[经济学-应用经济学] 1201[管理学-管理科学与工程(可授管理学、工学学位)] 020204[经济学-金融学（含∶保险学）] 08[工学] 081202[工学-计算机软件与理论] 0812[工学-计算机科学与技术（可授工学、理学学位）] 

摘      要：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.