Search

Your search keyword '"Dorffner, Georg"' showing total 2 results
Start Over Author "Dorffner, Georg" Journal ieee transactions on neural networks

Refine your results

2 results on '"Dorffner, Georg"'

1. Risk-Neutral Density Extraction from Option Prices: Improved Pricing with Mixture Density Networks.

Author

Schittenkopf, Christian and Dorffner, Georg

Subjects
*OPTION value, *ARTIFICIAL neural networks
Abstract

Provides information on a study that presented a semi-nonparametric approach to risk-neutral density extraction from option prices which is based on an extension of the concept of mixture density networks. Option pricing models; Estimation and evaluation of models; Comparison of risk-neutral densities.

Published
2001
Full Text
View/download PDF

2. Financial Volatility Trading Using Recurrent Neural Networks.

Author

Tino, Peter, Schittenkopf, Christian, and Dorffner, Georg

Subjects
*ARTIFICIAL neural networks, *OPTIONS (Finance)
Abstract

Presents a study on recurrent neural networks. Trading of options; Predictive models; Elman recurrent neural network; Discussion on data, volatility measures and trading strategy.

Published
2001
Full Text
View/download PDF

Catalog

Books, media, physical & digital resources
See catalog results