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

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. 

List of contents

CHAPTER 1 Introduction.- CHAPTER 2 Time Series Modelling.- CHAPTER 3 Options and Options Pricing Models.- CHAPTER 4 Neural Networks and Financial Forecasting.- CHAPTER 5 Important Problems in Financial Forecasting.- CHAPTER 6 Volatility Forecasting.- CHAPTER 7 Option Pricing.- CHAPTER 8 Value-at-Risk.- CHAPTER 9 Conclusion and Discussion.

Summary

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. 

Additional text

“The book describes how to deal with the different sorts of financial market risk. … The book can be used by advanced undergraduate students and graduate students in its entirety. It is also interesting for the specialists in financial market risk and is of considerable importance to practitioners in the field.” (Yuliya S. Mishura, zbMath 1410.91004, 2019)

Report

"The book describes how to deal with the different sorts of financial market risk. ... The book can be used by advanced undergraduate students and graduate students in its entirety. It is also interesting for the specialists in financial market risk and is of considerable importance to practitioners in the field." (Yuliya S. Mishura, zbMath 1410.91004, 2019)

Product details

• Authors: Elizabeth Chang, Thara Dillon, Tharam Dillon, Fahe Mostafa, Fahed Mostafa
• Publisher: Springer, Berlin
• Languages: English
• Product format: Paperback / Softback
• Released: 01.01.2018
• EAN: 9783319847139
• ISBN: 978-3-31-984713-9
• No. of pages: 171
• Dimensions: 155 mm x 10 mm x 235 mm
• Weight: 290 g
• Illustrations: X, 171 p. 23 illus.
• Series: Studies in Computational Intelligence; Studies in Computational Intelligence
• Subjects: Natural sciences, medicine, IT, technology > Technology > General, dictionaries; Operations Research, B, Artificial Intelligence, macroeconomics, engineering, Operations Research/Decision Theory, Operations Research and Decision Theory, Macroeconomics and Monetary Economics, Macroeconomics/Monetary Economics//Financial Economics, Monetary Economics, Management decision making, Operational research, Decision Making, Computational Intelligence