Editors:
- Robert J. Elliott is a distinguished research professor who has developed the area of Hidden Markov Models and Rogemar Mamon is a young researcher who is focusing his research efforts in this area. Robert Elliott has published exclusively in the area of Hidden Markov Models, and he is the author of leading books in the field — Hidden Markov Models and Mathematics of Financial Markets
- Leading researchers have been commissioned to do chapter treatments on the following topics: Option Pricing, Interest Rate Theory, Credit Risk Modeling, Portfolio Optimization and Asset Allocation, Volatility Estimation, Electricity and other Commodity Pricing, and Real Options
- Includes supplementary material: sn.pub/extras
Part of the book series: International Series in Operations Research & Management Science (ISOR, volume 104)
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Table of contents (10 chapters)
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Front Matter
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Back Matter
About this book
A number of methodologies have been employed to provide decision making solutions to a whole assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance by Mamon and Elliott will be the first systematic application of these methods to some special kinds of financial problems; namely, pricing options and variance swaps, valuation of life insurance policies, interest rate theory, credit risk modeling, risk management, analysis of future demand and inventory level, testing foreign exchange rate hypothesis, and early warning systems for currency crises. This book provides researchers and practitioners with analyses that allow them to sort through the random "noise" of financial markets (i.e., turbulence, volatility, emotion, chaotic events, etc.) and analyze the fundamental components of economic markets. Hence, Hidden Markov Models in Finance provides decision makers with a clear, accurate picture of core financial components by filtering out the random noise in financial markets.
Editors and Affiliations
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University of Western Ontario, London, Canada
Rogemar S. Mamon
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University of Calgary, Calgary, Canada
Robert J. Elliott
Bibliographic Information
Book Title: Hidden Markov Models in Finance
Editors: Rogemar S. Mamon, Robert J. Elliott
Series Title: International Series in Operations Research & Management Science
DOI: https://doi.org/10.1007/0-387-71163-5
Publisher: Springer New York, NY
eBook Packages: Business and Economics, Business and Management (R0)
Copyright Information: Springer-Verlag US 2007
Hardcover ISBN: 978-0-387-71081-5Published: 24 April 2007
Softcover ISBN: 978-1-4419-4380-4Published: 25 November 2010
eBook ISBN: 978-0-387-71163-8Published: 26 April 2007
Series ISSN: 0884-8289
Series E-ISSN: 2214-7934
Edition Number: 1
Number of Pages: XX, 186
Topics: Operations Research/Decision Theory, Finance, general, Mathematical Modeling and Industrial Mathematics, Probability Theory and Stochastic Processes, Business and Management, general, Operations Research, Management Science