Hidden Markov Models in Finance

edited by Rogemar S. Mamon, Robert J. Elliott

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.

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Year of publication:	2007
Other Persons:	Mamon, Rogemar S. (contributor) ; Elliott, Robert J. (contributor)
Publisher:	Boston, MA : Springer US [Berlin : Springer
Subject:	Markov-Kette \| Markov chain \| Stochastischer Prozess \| Stochastic process \| Finanzmarkt \| Financial market \| Kapitalmarkttheorie \| Financial economics \| Portfolio-Management \| Portfolio selection \| Kapitalanlage \| Financial investment \| Finanzmathematik \| Hidden-Markov-Modell
Description of contents:	Table of Contents [swbplus.bsz-bw.de] ; Table of Contents [gbv.de] ; Description [swbplus.bsz-bw.de] ; Description [swbplus.bsz-bw.de] ; Description [zbmath.org]

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Extent:	Online-Ressource (XIX, 184 p, digital)
Series:	International Series in Operations Research & Management Science ; 104 SpringerLink / Bücher
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Aufsatzsammlung
Language:	English
Notes:	Literaturangaben Front Matter; 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 marketEarly Warning Systems for Currency Crises: A Regime-Switching Approach; Back Matter
ISBN:	978-0-387-71163-8 ; 978-0-387-71081-5
Other identifiers:	10.1007/0-387-71163-5 [DOI]
Classification:	Mathematische Statistik ; Geld, Inflation, Kapitalmarkt
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013520670