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

著者: Rogemar S Mamon
出版商: New York, NY : Springer, 2014.
丛书: International series in operations research & management science, 209.
版本/格式:   电子图书 : 文献 : 英语查看所有的版本和格式
数据库:WorldCat
提要:
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  再读一些...
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类型/形式: Electronic books
附加的形体格式: Print version:
Mamon, Rogemar S.
Hidden Markov models in finance. Mamon, Robert J. Elliott
(OCoLC)879770632
材料类型: 文献, 互联网资源
文件类型: 互联网资源, 计算机文档
所有的著者/提供者: Rogemar S Mamon
ISBN: 9781489974426 1489974423
OCLC号码: 880372799
描述: 1 online resource (286 pages) : illustrations.
内容: 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.
丛书名: International series in operations research & management science, 209.
责任: Rogemar S. Mamon, Robert J. Elliott.
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