Extent: | Online-Ressource (XXII, 261 p. 47 illus., 39 illus. in color, online resource) |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Description based upon print version of record Robustification of an on-line EM algorithm for modelling asset prices within an HMMStochastic 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. |
ISBN: | 978-1-4899-7442-6 ; 978-1-4899-7441-9 |
Other identifiers: | 10.1007/978-1-4899-7442-6 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014020477