Coverart for item
The Resource Hidden Markov models in finance, edited by Rogemar S. Mamon, Robert J. Elliott, (electronic resource)

Hidden Markov models in finance, edited by Rogemar S. Mamon, Robert J. Elliott, (electronic resource)

Label
Hidden Markov models in finance
Title
Hidden Markov models in finance
Statement of responsibility
edited by Rogemar S. Mamon, Robert J. Elliott
Contributor
Subject
Language
eng
Summary
"This book provides researchers and practitioners with analyses that allow them to sort through the random "noise" of financial markets (i.e., turbulence, volatility, emotion, chaotic events, etc.) and analyze the fundamental components of economic markets. Hence, Hidden Markov Models in Finance provides decision makers with a clear, accurate picture of core financial components by filtering out the random noise in financial markets."--Jacket
Member of
Dewey number
332.01/519233
Illustrations
illustrations
Index
no index present
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorDate
1940-
http://library.link/vocab/relatedWorkOrContributorName
  • Mamon, Rogemar S
  • Elliott, Robert J.
Series statement
International series in operations research & management science
Series volume
104
http://library.link/vocab/subjectName
  • Finance
  • Markov processes
Label
Hidden Markov models in finance, edited by Rogemar S. Mamon, Robert J. Elliott, (electronic resource)
Instantiates
Publication
Bibliography note
Includes bibliographical references
Color
multicolored
Contents
Front Matter; 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
Control code
ocn191450141
Dimensions
unknown
Extent
1 online resource (xix, 184 p.)
Form of item
online
Isbn
9780387710815
Isbn Type
(hd. bd.)
Other physical details
ill
Publisher number
11581697
Specific material designation
remote
System control number
(OCoLC)191450141
Label
Hidden Markov models in finance, edited by Rogemar S. Mamon, Robert J. Elliott, (electronic resource)
Publication
Bibliography note
Includes bibliographical references
Color
multicolored
Contents
Front Matter; 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
Control code
ocn191450141
Dimensions
unknown
Extent
1 online resource (xix, 184 p.)
Form of item
online
Isbn
9780387710815
Isbn Type
(hd. bd.)
Other physical details
ill
Publisher number
11581697
Specific material designation
remote
System control number
(OCoLC)191450141

Library Locations

    • InternetBorrow it
      Albany, Auckland, 0632, NZ
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