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Reti neurali artificiali per la valutazione di opzioni

Bibliografia

[1] ANDERS U., KORN O. E SCHIMITT C., Improving the Pricing of Options: a Neural Network Approach, Journal of Forecasting, 17, 369-388, 1998.

[2] BELCARO P.L., CANESTRELLI E. e CORAZZA M., Artificial Neural Network Forecasting Models: an Application to the Italian Stock Market, Badania Operacjine i Decyzje, 3/4, 29-48, 1996.

[3] BILLIO M., CORAZZA M. e GOBBO M., Modelli Neuronali e Modelli Switching Regime per la Valutazione di Opzioni Finanziarie, Quaderno del Dipartimento di Matematica Applicata - Università Ca' Foscari di Venezia, 102/2001, 2001.

[4] BOLLERSLEV T., CHOU R.Y. e KRONER K.F., ARCH Modeling in Finance: a Review of the Theory and Empirical Evidence, Journal of Econometrics 52, 5- 59,1992.

[5] BOYLE P., BROADIE M., GLASSERMAN P, Monte Carlo Methods for Security Pricing, Journal of Economic Dynamics and Control 2, 1267-1321, 1997.

[6] BLACK F. e SCHOLES M., The Pricing of Options and Corporate Liabilities, Journal of Political Economy, 81, 637-659, 1973.

[7] FELDMAN K. e KINGDON J., Neural Networks ans some Applications to Finance, Applied Mathematical Finance, 2, 17-42, 1995.

[8] HANKE M., Option Pricing Using Neural Networks vs. Black/Scholes: an Empirical Comparison of Two Fundamentally Different Option Pricing Methods, Journal of Computational Intelligence in Finance, 5(1), 1999.

[9] HANKE M., Neural Network Approximation of Option Pricing Formulas for Analytically Intractable Option Pricing Models, Journal of Computational Intelligence in Finance, 5(5), 1997.

[10] HECHT-NIELSEN R., Neurocomputing. Addison-Wesley, 1990.

[11] HERTZ J., KROGH A. e PALMER R., Introduction to the theory of neural computing, Addison-Wesley, 1991.

[12] HORNIK K., STINCHCOMBE M. e WHITE H., Multilayer Feedforward Networks are Universal Approsimators, Neural Networks 2, 359-366, 1989.

[13] HULL J.C., Opzioni, Futures e Altri Derivati, Il Sole 24 Ore Libri, 2000.

[14] HUTCHINSON J.M., LO A. e POGGIO T., A Nonparametric Approach to Pricing and Hedging Derivatives Securities via Learning Networks, Journal of Finance, 94, 851-889, 1994.

[15] LAJBCYGIER P.R. e CONNOR J.T., Improved Option Pricing Using Artificial Neural Networks and Bootstrap Methods, International Journal of Neural System, 8(4), 457-471, 1997.

[16] MALLIARIS M. e SALCHENBERGHER L., Neural Networks for Predicting Options Volatility, in Trippi R.R., Turban E.: "Neural Networks in Finance and Investing".

[17] MERTON R.C., Theory of Rational Option Pricing, Bell Journal of Economics and Management Science 4, 141-183, 1973.

[18] RUBINSTEIN M., Implied Binomial Tree, Journal of Finance 49, 771-818, 1994.

[19] WILMOTT P., DEWYNNE J. e HOWISON S. D., The Mathematics of Financial Derivatives: a Student Introduction, Cambridge University Press, 1995.

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