Hidden Markov Models in Finance - gebunden oder broschiert

EAN (ISBN-13): 9780387710815
ISBN (ISBN-10): 0387710817
Gebundene Ausgabe
Erscheinungsjahr: 2007
Herausgeber: Springer-Verlag GmbH
188 Seiten
Gewicht: 0,435 kg
Sprache: eng/Englisch

Buch in der Datenbank seit 2007-07-07T23:38:43+02:00 (Zurich)
Detailseite zuletzt geändert am 2023-11-04T15:42:22+01:00 (Zurich)
ISBN/EAN: 0387710817

ISBN - alternative Schreibweisen:
0-387-71081-7, 978-0-387-71081-5
Alternative Schreibweisen und verwandte Suchbegriffe:
Autor des Buches: elliott, robert elliot
Titel des Buches: operations research, operations management, research finance, international management, hidden markov models, management series

---

Daten vom Verlag:

Autor/in: Rogemar S. Mamon; Robert J Elliott
Titel: International Series in Operations Research & Management Science; Hidden Markov Models in Finance
Verlag: Springer; Springer US
186 Seiten
Erscheinungsjahr: 2007-04-24
New York; NY; US
Gedruckt / Hergestellt in Niederlande.
Sprache: Englisch
106,99 € (DE)
109,99 € (AT)
118,00 CHF (CH)
POD
XX, 186 p.

BB; Hardcover, Softcover / Wirtschaft/Allgemeines, Lexika; Unternehmensforschung; Verstehen; Finance; Markov; Markov chain; Markov model; Markov models; Variance; credit risk modeling; early warning systems; interest rates; inventory system; life insurance valuation; market risk; model; modeling; regime-switching; Operations Research and Decision Theory; Financial Economics; Mathematical Modeling and Industrial Mathematics; Probability Theory; Business and Management; Operations Research, Management Science; Management: Entscheidungstheorie; Finanzenwesen und Finanzindustrie; Mathematische Modellierung; Mathematik für Ingenieure; Wahrscheinlichkeitsrechnung und Statistik; Stochastik; Betriebswirtschaft und Management; BC

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.
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