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題名:選擇權動態避險:使用深度學習
書刊名:保險專刊
作者:張士傑杜昌燁
作者(外文):Chang, Shih-chiehTu, Chang-ye
出版日期:2020
卷期:36:4
頁次:頁291-310
主題關鍵詞:Delta避險Black-Scholes模型選擇權類神經網路深度學習Delta hedgingBlack-Scholes modelOptionsArtificial neural networksDeep learning
原始連結:連回原系統網址new window
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  • 被引用次數被引用次數:期刊(0) 博士論文(0) 專書(0) 專書論文(0)
  • 排除自我引用排除自我引用:0
  • 共同引用共同引用:0
  • 點閱點閱:6
期刊論文
1.Hutchinson, James M.、Lo, Andrew W.、Poggio, Tomaso(1994)。A Nonparametric Approach to Pricing and Hedging Derivative Securities Via Learning Networks。Journal of Finance,49(3),851-889。  new window
2.Hornik, Kurt(1991)。Approximation Capabilities of Multilayer Feedforward Networks。Neural Networks,4(2),251-257。  new window
3.Buehler, H.、Gonon, L.、Teichmann, J.、Wood, B.(2019)。Deep hedging。Quantitative Finance,19,1271-1291。  new window
4.Cireşan, D. C.、Meier, U.、Masci, J.、Schmidhuber, J.(2012)。Multi-column deep neural network for traffic sign classification。Neural Networks,32,333-338。  new window
5.Silver, David、Huang, Aja、Maddison, Chris J.、Guez, Arthur、Sifre, Laurent、van den Driessche, George、Schrittwieser, Julian、Antonoglou, Ioannis、Panneershelvam, Veda、Lanctot, Marc、Dieleman, Sander、Grewe, Dominik、Nham, John、Kalchbrenner, Nal、Sutskever, Ilya、Lillicrap, Timothy、Leach, Madeleine、Kavukcuoglu, Koray、Graepel, Thore、Hassabis, Demis(2016)。Mastering the game of Go with deep neural networks and tree search。Nature,529(7587),484-489。  new window
圖書
1.Hardy, Mary R.(2003)。Investment Guarantees: Modeling and Risk Management for Equity-Linked Life Insurance。John Wiley & Sons, Inc.。  new window
2.Sutton, R. S.、Barto, A. G.(2018)。Reinforcement learning: An introduction。MIT Press。  new window
3.de Prado, M. M. L.(2020)。Machine Learning for Asset Managers。Cambridge University Press。  new window
4.Szepesvári, C.(2010)。Algorithms for Reinforcement Learning。Morgan & Claypool Publishers。  new window
5.Aggarwal, Charu C.(2018)。Neural Networks and Deep Learning: A Textbook。Springer International。  new window
6.Chassagneux, Jean-François、Bouchard, Bruno(2016)。Fundamentals and Advanced Techniques in Derivatives Hedging。Springer International。  new window
7.Dixon, M. F.、Halperin, I.、Bilokon, P.(2020)。Machine Learning in Finance: From Theory to Practice。Springer International。  new window
8.Goodfellow, I.、Bengio, Y.、Courville, A.(2016)。Deep Learning。MIT Press。  new window
9.Hull, John C.(2015)。Options, Futures, and Other Derivatives。Pearson。  new window
10.Hull, John C.(2020)。Machine Learning in Business: An Introduction to the World of Data Science。Independently Published。  new window
11.Nielsen, Michael A.(2015)。Neural Networks and Deep Learning。Determination Press。  new window
12.de Prado, M. M. L.(2018)。Advances in Financial Machine Learning。John Wiley & Sons, Inc.。  new window
其他
1.Chollet, F.(2015)。Keras: Deep learning library for theano and tensorflow,https://keras.io。  new window
2.Abadi, Martín,Agarwal, Ashish,Barham, Paul,Brevdo, Eugene,Chen, Zhifeng,Citro, Craig,Corrado, Greg S.,Davis, Andy,Dean, Jeffrey,Devin, Matthieu,Ghemawat, Sanjay,Goodfellow, Ian,Harp, Andrew,Irving, Geoffrey,Isard, Michael,Jia, Yangqing,Jozefowicz, Rafal,Kaiser, Lukasz,Kudlur, Manjunath,Levenberg, Josh,Mane, Dan,Monga, Rajat,Moore, Sherry,Murray, Derek,Olah, Chris,Schuster, Mike,Shlens, Jonathon,Steiner, Benoit,Sutskever, Ilya,Talwar, Kunal,Tucker, Paul,Vanhoucke, Vincent,Vasudevan, Vijay,Viegas, Fernanda,Vinyals, Oriol,Warden, Pete,Wattenberg, Martin,Wicke, Martin,Yu, Yuan,Zheng, Xiaoqiang(2015)。TensorFlow: Large-Scale Machine Learning on Heterogeneous Distributed Systems,https://www.tensorflow.org。  new window
 
 
 
 
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