Hidden Markov Models in Finance (eBook, PDF)

Redaktion: Mamon, Rogemar S.; Elliott, Robert J

• Format: PDF

Produktbeschreibung

A number of methodologies have been employed to provide decision making solutions to a wide assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to highly specialized financial problems including option pricing, interest rate theory, credit risk modeling, portfolio optimization and asset allocation, volatility estimation, electricity and other commodity pricing, weather, currency, and real options. This book provides researchers and practitioners with analyses that allow them to sort through turbulence, volatility, emotion, chaotic events - the random "noise" of financial markets - and analyze their fundamental components. Decision makers will benefit from its clear, accurate picture of core financial components.

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Produktdetails

• Verlag: Springer US
• Seitenzahl: 186
• Erscheinungstermin: 26. April 2007
• Englisch
• ISBN-13: 9780387711638
• Artikelnr.: 37286966

Inhaltsangabe

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.