Resource title

Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator

Resource image

image for OpenScout resource :: Warrant Pro 1: Market Price Synthesis with a Software Agent and a Neurosimulator

Resource description

Today´s derivative pricing base on stochastic models developed in the 70´s. These models base on some unrealistic assumptions. The system Warrant Pro 1 presented here combines the software agent PISA (Partially Intelligent Software Agent) and the neurosimulator FAUN (Fast Approximation with Universal Neural Networks) to synthesize market price functions instead of theoretical price functions. PISA automatically extracts data from the internet or other (semi-)structured text sources. High quality neural networks training and validation data with predefinable denseness are provided cost ree. FAUN learns true market price functions and computes real market prices. An example for German DAX options is outlined.

Resource author

Patrick Bartels, Michael H. Breitner

Resource publisher

Resource publish date

Resource language

eng

Resource content type

text/html

Resource resource URL

http://hdl.handle.net/10419/22412

Resource license

Adapt according to the presented license agreement and reference the original author.