Mostafa F., Dillon T., Chang E. Computational Intelligence Applications to Option Pricing, Volatility Forecasting and Value at Risk

Springer, 2017. — 177 p. — (Studies in Computational Intelligence 697). — ISBN: 9783319516660, 9783319516684.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.Time Series Modeling
Options and Options Pricing Models
Neural Networks and Financial Forecasting
Important Problems in Financial Forecasting
Volatility Forecasting
Option Pricing
Value-at-Risk
Conclusion and Discussion