Hidden Markov Models in Finance - encuadernado, tapa blanda

EAN (ISBN-13): 9780387710815
ISBN (ISBN-10): 0387710817
Tapa dura
Año de publicación: 2007
Editorial: Springer-Verlag GmbH
188 Páginas
Peso: 0,435 kg
Idioma: eng/Englisch

Libro en la base de datos desde 2007-07-07T16:38:43-05:00 (Mexico City)
Página de detalles modificada por última vez el 2023-11-04T08:42:22-06:00 (Mexico City)
ISBN/EAN: 9780387710815

ISBN - escritura alterna:
0-387-71081-7, 978-0-387-71081-5
Mode alterno de escritura y términos de búsqueda relacionados:
Autor del libro: elliott, robert elliot
Título del libro: operations research, operations management, research finance, international management, hidden markov models, management series

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Datos del la editorial

Autor: Rogemar S. Mamon; Robert J Elliott
Título: International Series in Operations Research & Management Science; Hidden Markov Models in Finance
Editorial: Springer; Springer US
186 Páginas
Año de publicación: 2007-04-24
New York; NY; US
Impreso en
Idioma: Inglés
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