International Series in Operations Research & Management Science

Hidden Markov Models in Finance

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

  • The first systematic application of these highly specialized tools to financial problems
  • Applies theses tools to option pricing, interest rate theory, credit risk modeling, volatility estimation, electricity and other commodity pricing
  • Provides an accurate picture of core financial components by filtering out the random noise in financial markets
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eBook $109.00
price for USA in USD (gross)
  • ISBN 978-0-387-71163-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-0-387-71081-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $139.00
price for USA in USD
  • ISBN 978-1-4419-4380-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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.

 

Table of contents (10 chapters)

  • An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk

    Wu, Shu (et al.)

    Pages 1-14

  • The Term Structure of Interest Rates in a Hidden Markov Setting

    Elliott, Robert J. (et al.)

    Pages 15-30

  • On Fair Valuation of Participating Life Insurance Policies With Regime Switching

    Siu, Tak Kuen

    Pages 31-43

  • Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets

    Elliott, Robert J. (et al.)

    Pages 45-68

  • Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality

    Korolkiewicz, MaƂgorzata W. (et al.)

    Pages 69-90

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-0-387-71163-8
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $139.99
price for USA in USD
  • ISBN 978-0-387-71081-5
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $139.00
price for USA in USD
  • ISBN 978-1-4419-4380-4
  • 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
Editors
  • Rogemar S. Mamon
  • Robert J Elliott
Series Title
International Series in Operations Research & Management Science
Series Volume
104
Copyright
2007
Publisher
Springer US
Copyright Holder
Springer-Verlag US
eBook ISBN
978-0-387-71163-8
DOI
10.1007/0-387-71163-5
Hardcover ISBN
978-0-387-71081-5
Softcover ISBN
978-1-4419-4380-4
Series ISSN
0884-8289
Edition Number
1
Number of Pages
XX, 186
Topics