Del i serien International Series in Operations Research & Management Science

Hidden Markov Models in Finance

Inbunden, Engelska, 2007

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A number of methodologies have been employed to provide decision making solutions to a whole assortment of financial problems in today's globalized markets.

Produktinformation

Utgivningsdatum2007-04-24
Mått155 x 235 x 14 mm
Vikt490 g
FormatInbunden
SpråkEngelska
SerieInternational Series in Operations Research & Management Science
Antal sidor186
Upplaga2007
FörlagSpringer-Verlag New York Inc.
ISBN9780387710815

Tillhör följande kategorier

Matematisk statistik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och Ledarskap
Mikroekonomi inom Ekonomi och Ledarskap

An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk.- The Term Structure of Interest Rates in a Hidden Markov Setting.- On Fair Valuation of Participating Life Insurance Policies With Regime Switching.- Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets.- Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality.- Expected Shortfall Under a Model With Market and Credit Risks.- Filtering of Hidden Weak Markov Chain -Discrete Range Observations.- Filtering of a Partially Observed Inventory System.- An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market.- Early Warning Systems for Currency Crises: A Regime-Switching Approach.