Hidden Markov Models in Finance / Edition 1

Hidden Markov Models in Finance / Edition 1

by Rogemar S. Mamon
     
 

ISBN-10: 0387710817

ISBN-13: 9780387710815

Pub. Date: 04/24/2007

Publisher: Springer US

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,

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Overview

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.

Product Details

ISBN-13:
9780387710815
Publisher:
Springer US
Publication date:
04/24/2007
Series:
International Series in Operations Research & Management Science, #104
Edition description:
2007
Pages:
186
Product dimensions:
6.10(w) x 9.25(h) x 0.02(d)

Table of Contents

Exact solution of the term structure of interest rates under regime-switching risk.- Term structure of interest rates in a hidden Markov setting.- 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 Markov chain-discrete range observations.- Filtering of a partially observed inventory system.- Empirical investigation of the unbiased forward exchange rate expectation hypothesis in a regime-switching market.- Early warning systems for currency crises: a regime-switching approach.- Index.

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