عنوان

Hidden Markov models in finance :

(Number (ISBN

1489974423 (electronic bk.)

(Number (ISBN

9781489974426 (electronic bk.)

Erroneous ISBN

9781489974419

Number

dltt

Title Proper

Hidden Markov models in finance :

General Material Designation

[Book]

Other Title Information

further developments and applications.

First Statement of Responsibility

Rogemar S. Mamon, Robert J. Elliott

Volume Designation

Volume II /

Specific Material Designation and Extent of Item

1 online resource (286 pages) :

Other Physical Details

illustrations

Series Title

International series in operations research & management science ;

Volume Designation

209

Text of Note

Robustification of an on-line EM algorithm for modelling asset prices within an HMM -- Stochastic volatility or stochastic central tendency: evidence from a hidden Markov model of the short-term interest rate -- An econometric model of the term structure of interest rates under regime-switching risk -- The LIBOR market model: a Markov-switching jump diffusion extension -- Exchange rates and net portfolio flows: a Markov-switching approach -- Hedging costs for variable annuities under regime-switching -- A stochastic approximation approach for trend-following trading -- A hidden Markov-modulated jump diffusion model for European option pricing -- An exact formula for pricing American exchange options with regime switching -- Parameter estimation in a weak hidden Markov model with independent drift and volatility -- Parameter estimation in a regime-switching model with non-normal noise

0

Text of Note

Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance, and showcases the formulation of emerging potential applications of new research over the books 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market

Title

Hidden Markov models in finance. Mamon, Robert J. Elliott

International Standard Book Number

1489974415

Business mathematics

Hidden Markov models

Class number

Mamon, Rogemar S.

Ohio Library and Information Network

Date of Transaction

20201222074758.0

Cataloguing Rules (Descriptive Conventions))

pn

Electronic name

[Book]

270410

Y