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Hidden Markov Models in Finance

  • Couverture cartonnée
  • 186 Nombre de pages
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A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Fina... Lire la suite
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Description

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.


Résumé
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.

Contenu
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.

Informations sur le produit

Titre: Hidden Markov Models in Finance
Éditeur:
Code EAN: 9781441943804
ISBN: 978-1-4419-4380-4
Format: Couverture cartonnée
Editeur: Springer, Berlin
Genre: Economie
nombre de pages: 186
Poids: 322g
Taille: H235mm x B235mm x T155mm
Année: 2010
Auflage: Softcover reprint of hardcover 1st ed. 2007

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