Hidden Markov Models in Finance

Häftad, Engelska, 2010

AvRogemar S. Mamon,Robert J Elliott,Robert J. Elliott

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A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events -- the random "noise" of financial markets -- to analyze core components.

Produktinformation

Utgivningsdatum2010-11-25
Mått155 x 235 x 12 mm
Vikt324 g
FormatHäftad
SpråkEngelska
SerieInternational Series in Operations Research & Management Science
Antal sidor186
FörlagSpringer-Verlag New York Inc.
ISBN9781441943804

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.