E-Book, Englisch, Band 104, 186 Seiten, eBook
Reihe: International Series in Operations Research Management Science
Mamon / Elliott Hidden Markov Models in Finance
2007
ISBN: 978-0-387-71163-8
Verlag: Springer US
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, Band 104, 186 Seiten, eBook
Reihe: International Series in Operations Research Management Science
ISBN: 978-0-387-71163-8
Verlag: Springer US
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
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.
