Financial Derivatives Pricing using Artificial Neural Networks

Financial Derivatives Pricing using Artificial Neural Networks

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Pricing has always been a point of discussion in the world of financial derivatives. Since the ground-breaking paper from Black and Scholes, derivatives have been priced using their and other parametric models. However, even controlled for assumptions, Black-Scholes mismatches empirical findings and fails to explain the volatility surface. This precipitated more mathematically complex approaches such as the Heston model or jump-diffusion processes, as well as Monte Carlo methods to leverage advances in computing. The increasing access to this computing power and the growing abilities of artifi...