International Series in Operations Research & Management Science

Hidden Markov Models in Finance

Further Developments and Applications, Volume II

Editors: Mamon, Rogemar S., Elliott, Robert J. (Eds.)

  • 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
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  • ISBN 978-1-4899-7442-6
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Hardcover $129.00
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  • ISBN 978-1-4899-7441-9
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Softcover $129.00
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  • ISBN 978-1-4899-7967-4
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About this book

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 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.

Table of contents (11 chapters)

  • Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM

    Erlwein-Sayer, Christina (et al.)

    Pages 1-31

  • Stochastic Volatility or Stochastic Central Tendency: Evidence from a Hidden Markov Model of the Short-Term Interest Rate

    Wilson, Craig A. (et al.)

    Pages 33-53

  • An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk

    Wu, Shu (et al.)

    Pages 55-83

  • The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension

    Steinrücke, Lea (et al.)

    Pages 85-116

  • Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach

    Ali, Faek Menla (et al.)

    Pages 117-132

Buy this book

eBook $99.00
price for USA (gross)
  • ISBN 978-1-4899-7442-6
  • Digitally watermarked, DRM-free
  • Included format: EPUB, PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $129.00
price for USA
  • ISBN 978-1-4899-7441-9
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $129.00
price for USA
  • ISBN 978-1-4899-7967-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Hidden Markov Models in Finance
Book Subtitle
Further Developments and Applications, Volume II
Editors
  • Rogemar S. Mamon
  • Robert J. Elliott
Series Title
International Series in Operations Research & Management Science
Series Volume
209
Copyright
2014
Publisher
Springer US
Copyright Holder
Springer Science+Business Media New York
eBook ISBN
978-1-4899-7442-6
DOI
10.1007/978-1-4899-7442-6
Hardcover ISBN
978-1-4899-7441-9
Softcover ISBN
978-1-4899-7967-4
Series ISSN
0884-8289
Edition Number
1
Number of Pages
XXII, 261
Number of Illustrations and Tables
8 b/w illustrations, 39 illustrations in colour
Topics