Hidden Markov Models in Finance / Edition 1 available in Hardcover
- Pub. Date:
- 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, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.
|Series:||International Series in Operations Research & Management Science , #104|
|Product dimensions:||6.10(w) x 9.25(h) x 0.02(d)|
Table of ContentsAn 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.