Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk (Studies in Computational Intelligence, #697)

by Fahed Mostafa, Tharam Dillon, and Elizabeth Chang

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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. 
  • ISBN13 9783319516660
  • Publish Date 10 March 2017
  • Publish Status Active
  • Publish Country CH
  • Imprint Springer International Publishing AG
  • Edition 1st ed. 2017
  • Format Hardcover
  • Pages 171
  • Language English