Hidden Markov Models in Finance

Name: Hidden Markov Models in Finance
Author: Rogemar S. Mamon

Paperback Engels 2010 9781441943804

132,99

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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

ISBN13:9781441943804

Taal:Engels

Bindwijze:paperback

Aantal pagina's:186

Uitgever:Springer US

Druk:0

Hoofdrubriek:Financieel management, Inkoop en logistiek

Serie:International Series in Operations Research & Management Science

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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.