Hidden Markov Models in Finance

Further Developments and Applications, Volume II

Inbunden, Engelska, 2014

AvRogemar S. Mamon,Robert J. Elliott

1 369 kr

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Hidden Markov Models in Finance

Produktinformation

Utgivningsdatum2014-05-15
Mått155 x 235 x 17 mm
Vikt536 g
FormatInbunden
SpråkEngelska
SerieInternational Series in Operations Research & Management Science
Antal sidor261
Upplaga2014
FörlagSpringer-Verlag New York Inc.
ISBN9781489974419

Tillhör följande kategorier

Robustification of an on-line EM algorithm for modelling asset prices within an HMM.- Stochastic volatility or stochastic central tendency: evidence from a hidden Markov model of the short-term interest rate.- An econometric model of the term structure of interest rates under regime-switching risk.- The LIBOR market model: a Markov-switching jump diffusion extension.- Exchange rates and net portfolio flows: a Markov-switching approach.- Hedging costs for variable annuities under regime-switching.- A stochastic approximation approach for trend-following trading.- A hidden Markov-modulated jump diffusion model for European option pricing.- An exact formula for pricing American exchange options with regime switching.- Parameter estimation in a weak hidden Markov model with independent drift and volatility.- Parameter estimation in a regime-switching model with non-normal noise.

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