Rogemar S. Mamon,
Robert J Elliott
Springer US
2007e druk, 2007
9780387710815
Hidden Markov Models in Finance
Specificaties
Gebonden, 186 blz.
|
Engels
Springer US |
2007e druk, 2007
ISBN13: 9780387710815
Rubricering
Onderdeel van serie
International Series in Operations Research & Management Science
Levertijd ongeveer 8 werkdagen
Samenvatting
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.
Specificaties
ISBN13:9780387710815
Taal:Engels
Bindwijze:gebonden
Aantal pagina's:186
Uitgever:Springer US
Druk:2007
Hoofdrubriek:Economie, Inkoop en logistiek
Inhoudsopgave
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.
