Hidden Markov Models in Finance Further Developments and Applications, Volume II /
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...
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| Other Authors: | , |
| Language: | English |
| Published: |
New York, NY :
Springer US : Imprint: Springer,
2014.
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| Edition: | 1st ed. 2014. |
| Series: | International Series in Operations Research & Management Science,
209 |
| Subjects: | |
| Online Access: | https://doi.org/10.1007/978-1-4899-7442-6 |
Table of 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.