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Hidden Markov Models in Finance Rogemar S. Mamon

Hidden Markov Models in Finance By Rogemar S. Mamon

Hidden Markov Models in Finance by Rogemar S. Mamon


Summary

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.

Hidden Markov Models in Finance Summary

Hidden Markov Models in Finance by Rogemar S. Mamon

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.

Table of Contents

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.

Additional information

NPB9780387710815
9780387710815
0387710817
Hidden Markov Models in Finance by Rogemar S. Mamon
New
Hardback
Springer-Verlag New York Inc.
2007-04-24
186
N/A
Book picture is for illustrative purposes only, actual binding, cover or edition may vary.
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