Hidden Markov Models in Finance

A number of methodologies have been employed to provide decision making solutions to a whole assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance by Mamon and Elliott will be the first systematic application of these methods to some special kinds of fi...

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Detalles Bibliográficos
Clasificación:Libro Electrónico
Autor Corporativo: SpringerLink (Online service)
Otros Autores: Mamon, Rogemar S. (Editor ), Elliott, Robert J. (Editor )
Formato: Electrónico eBook
Idioma:Inglés
Publicado: New York, NY : Springer US : Imprint: Springer, 2007.
Edición:1st ed. 2007.
Colección:International Series in Operations Research & Management Science, 104
Temas:
Operations research.
Finance.
Mathematical models.
Probabilities.
Business.
Management science.
Operations Research and Decision Theory.
Financial Economics.
Mathematical Modeling and Industrial Mathematics.
Probability Theory.
Business and Management.
Operations Research, Management Science .
Acceso en línea:Texto Completo
Tabla de Contenidos:
  • 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.

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