Hidden Markov Models in Finance

• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Άλλοι συγγραφείς: Mamon, Rogemar S. (Επιμελητής έκδοσης), Elliott, Robert J. (Επιμελητής έκδοσης)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Boston, MA : Springer US, 2007.
• Σειρά: International Series in Operations Research & Management Science, 104
• Θέματα: Business.; Management science.; Operations research.; Decision making.; Finance.; Mathematical models.; Probabilities.; Business and Management.; Operation Research/Decision Theory.; Finance, general.; Mathematical Modeling and Industrial Mathematics.; Probability Theory and Stochastic Processes.; Business and Management, general.; Operations Research, Management Science.

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...

Πίνακας περιεχομένων:

• 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.