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Hidden Markov Models in Finance

Hidden Markov Models in Finance

 

169,99 €
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Editorial:
Springer Nature B.V.
Año de edición:
2010
Materia
Finanzas
ISBN:
9781441943804
169,99 €
IVA incluido
Disponible

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  • Librería Samer Atenea
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Sobre IBD

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.

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