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Hidden Markov Models in Finance : Further Developments and Applications.

Author: Rogemar S Mamon
Publisher: Springer, 2014.
Edition/Format:   eBook : Document : EnglishView all editions and formats

Hidden Markov Models in Finance


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Genre/Form: Electronic books
Additional Physical Format: Print version:
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Rogemar S Mamon
ISBN: 1489974415 9781489974419 9781489974426 1489974423
OCLC Number: 881839111
Description: 1 online resource (280)
Contents: 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.
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