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Hidden Markov models in finance : further developments and applications. Volume II

著者: Rogemar S Mamon
出版: New York, NY : Springer, 2014.
シリーズ: International series in operations research & management science, 209.
エディション/フォーマット:   電子書籍 : Document : Englishすべてのエディションとフォーマットを見る
データベース:WorldCat
概要:
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  続きを読む
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ジャンル/形式: Electronic books
その他のフォーマット: Print version:
Mamon, Rogemar S.
Hidden Markov models in finance. Mamon, Robert J. Elliott
(OCoLC)879770632
資料の種類: Document, インターネット資料
ドキュメントの種類: インターネットリソース, コンピューターファイル
すべての著者/寄与者: Rogemar S Mamon
ISBN: 9781489974426 1489974423
OCLC No.: 880372799
物理形態: 1 online resource (286 pages) : illustrations.
コンテンツ: Robustification of an on-line EM algorithm for modelling asset prices within an HMM --
Stochastic volatility or stochastic central tendency: evidence from a hidden Markov model of the short-term interest rate --
An econometric model of the term structure of interest rates under regime-switching risk --
The LIBOR market model: a Markov-switching jump diffusion extension --
Exchange rates and net portfolio flows: a Markov-switching approach --
Hedging costs for variable annuities under regime-switching --
A stochastic approximation approach for trend-following trading --
A hidden Markov-modulated jump diffusion model for European option pricing --
An exact formula for pricing American exchange options with regime switching --
Parameter estimation in a weak hidden Markov model with independent drift and volatility --
Parameter estimation in a regime-switching model with non-normal noise.
シリーズタイトル: International series in operations research & management science, 209.
責任者: Rogemar S. Mamon, Robert J. Elliott.
その他の情報:

概要:

Hidden Markov Models in Finance  続きを読む

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