Editors:
- 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: sn.pub/extras
Part of the book series: International Series in Operations Research & Management Science (ISOR, volume 209)
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Table of contents (11 chapters)
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Front Matter
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.
Editors and Affiliations
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Dept of Statistical & Actuarial Sciences, University of Western Ontario, London, Canada
Rogemar S. Mamon
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School of Mathematics, University of Adelaide, Adelaide, Australia
Robert J. Elliott
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
DOI: https://doi.org/10.1007/978-1-4899-7442-6
Publisher: Springer New York, NY
eBook Packages: Business and Economics, Business and Management (R0)
Copyright Information: Springer Science+Business Media New York 2014
Hardcover ISBN: 978-1-4899-7441-9Published: 15 May 2014
Softcover ISBN: 978-1-4899-7967-4Published: 23 August 2016
eBook ISBN: 978-1-4899-7442-6Published: 14 May 2014
Series ISSN: 0884-8289
Series E-ISSN: 2214-7934
Edition Number: 1
Number of Pages: XXII, 261
Number of Illustrations: 8 b/w illustrations, 39 illustrations in colour
Topics: Operations Research/Decision Theory, Finance, general, Probability Theory and Stochastic Processes