Hidden Markov Models in Finance

Inbunden, Engelska, 2007

Av Rogemar S. Mamon, Robert J Elliott, Robert J. Elliott, Rogemar S Mamon

1 389 kr

Beställningsvara. Skickas inom 10-15 vardagar

Fri frakt för medlemmar vid köp för minst 249 kr.

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

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.