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Volume XVI, Number 2. November 2011

Fuzzy uncertainty in the heston stochastic volatility model

G. Figà-Talamanca. University of Perugia

M.L. Guerra. University of Bologna

L. Stefanini. University of Urbino

Stochastic volatility models for option pricing are suitable to explain many empirical stylized facts in financial markets. Among the other models, Heston provides a good analytical tractability because a quasi closed formula for the price of a European call option can be derived. The estimation of the Heston model parameters…
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Sustainable social environment: Fuzzy assessment and forecasting

N.A. Abdullayeva. Institute of Cybernetics. Azerbaijan National Academy of Science

This paper will present fuzzy approach to assess and forecast the sustainability of social environment based on context-dependent economic, societal, political, spiritual and ecological development indicators. Fuzzy methods are applied on the basis of new database of the indicators taken from different sources, allowing to reflect not only a statics,…
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Return risk map in a fuzzy environment

José M. Brotons. Miguel Hernández University

Antonio Terceño. Rovira i Virgili University

Within the framework of Assets Liability Management, we understand that immunization is the main method to assure a certain yield in a future date departing from an initial portfolio. Although the objective of passive strategies is to design a portfolio that will achieve the performance of a predetermined benchmark, active…
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Pricing brazilian exchange rate options using an adaptive network-based Fuzzy inference system

Leandro S. Maciel. University of Campinas

Recently, option pricing has become the focus of risk managers, policymakers, traders and more generally all market participants, since they find valuable information in these contracts. This paper suggests the pricing performance evaluation on Brazilian exchange rate R$ (Reais) per US$ (U. S. Dollar) option contracts, traded at the Brazilian…
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