Hidden Markov Models in Finance

Inbunden, Engelska, 2007

Del i serien International Series in Operations Research & Management Science

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Beskrivning

A number of methodologies have been employed to provide decision making solutions to a whole assortment of financial problems in today's globalized markets.

Produktinformation

Utgivningsdatum:2007-04-24
Mått:155 x 235 x 14 mm
Vikt:490 g
Format:Inbunden
Språk:Engelska
Serie:International Series in Operations Research & Management Science
Antal sidor:186
Upplaga:2007
Förlag:Springer-Verlag New York Inc.
ISBN:9780387710815

Utforska kategorier

Mikroekonomi inom Ekonomi och Ledarskap
Matematisk statistik inom Naturvetenskap och teknik
Finansiering inom Ekonomi och Ledarskap

Innehållsförteckning

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.