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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 book¿s 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.
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 book¿s 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.
Offers cutting-edge research developments and applications of Hidden Markov Models (HMMs) to finance and other closely allied fields
Provides an accurate picture of core financial components by filtering out the random noise in financial markets
Includes contributions from experts and active researchers in the areas of financial mathematics and actuarial science
Includes supplementary material: [...]
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.
| Erscheinungsjahr: | 2014 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: |
xxii
261 S. 8 s/w Illustr. 39 farbige Illustr. 261 p. 47 illus. 39 illus. in color. |
| ISBN-13: | 9781489974419 |
| ISBN-10: | 1489974415 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Redaktion: |
Elliott, Robert J.
Mamon, Rogemar S. |
| Herausgeber: | Rogemar S Mamon/Robert J Elliott |
| Hersteller: | Springer US |
| Verantwortliche Person für die EU: | Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com |
| Maße: | 241 x 160 x 21 mm |
| Von/Mit: | Robert J. Elliott (u. a.) |
| Erscheinungsdatum: | 15.05.2014 |
| Gewicht: | 0,594 kg |
Offers cutting-edge research developments and applications of Hidden Markov Models (HMMs) to finance and other closely allied fields
Provides an accurate picture of core financial components by filtering out the random noise in financial markets
Includes contributions from experts and active researchers in the areas of financial mathematics and actuarial science
Includes supplementary material: [...]
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.
| Erscheinungsjahr: | 2014 |
|---|---|
| Fachbereich: | Allgemeines |
| Genre: | Importe, Wirtschaft |
| Rubrik: | Recht & Wirtschaft |
| Medium: | Buch |
| Inhalt: |
xxii
261 S. 8 s/w Illustr. 39 farbige Illustr. 261 p. 47 illus. 39 illus. in color. |
| ISBN-13: | 9781489974419 |
| ISBN-10: | 1489974415 |
| Sprache: | Englisch |
| Einband: | Gebunden |
| Redaktion: |
Elliott, Robert J.
Mamon, Rogemar S. |
| Herausgeber: | Rogemar S Mamon/Robert J Elliott |
| Hersteller: | Springer US |
| Verantwortliche Person für die EU: | Springer Verlag GmbH, Tiergartenstr. 17, D-69121 Heidelberg, juergen.hartmann@springer.com |
| Maße: | 241 x 160 x 21 mm |
| Von/Mit: | Robert J. Elliott (u. a.) |
| Erscheinungsdatum: | 15.05.2014 |
| Gewicht: | 0,594 kg |
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