Title :
Cellular Neural Networks model of risk management
Author_Institution :
Inst. of Math. & Inf., Bulgarian Acad. of Sci., Sofia
Abstract :
In this paper we shall study Black-Scholes partial differential equation which describes the evolution of the price of asset. We shall apply cellular neural networkspsila approach for studying the model of risk management. Numerical simulations and comparison with the classical results will be presented.
Keywords :
cellular neural nets; partial differential equations; pricing; risk management; Black-Scholes partial differential equation; asset price; cellular neural network; risk management; Cellular neural networks; Contracts; Economic indicators; Finance; Mathematical model; Mathematics; Partial differential equations; Portfolios; Risk management; Stochastic processes;
Conference_Titel :
Cellular Neural Networks and Their Applications, 2008. CNNA 2008. 11th International Workshop on
Conference_Location :
Santiago de Compostela
Print_ISBN :
978-1-4244-2089-6
Electronic_ISBN :
978-1-4244-2090-2
DOI :
10.1109/CNNA.2008.4588674
