/LC.GIF&client=easterncarolinaedu)
Hidden Markov models in finance / edited by Rogemar S. Mamon, Robert J. Elliott.
| Other author | Mamon, Rogemar S. |
| Other author | Elliott, Robert J. (Robert James), 1940- |
| Format | Book |
| Publication Info | New York : Springer, ©2007. |
| Description | xix, 184 pages : illustrations ; 24 cm. |
| Supplemental Content | Table of contents only |
| Subjects |
| Series | International series in operations research & management science ; 104 International series in operations research & management science 104. ^A489986 |
| Partial contents | 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 -- An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market -- Early warning systems for currency crises: a regime-switching approach. |
| Bibliography note | Includes bibliographical references. |
| LCCN | 2007921976 |
| ISBN | 9780387710815 (hd.bd.) |
| ISBN | 0387710817 (hd.bd.) |
| ISBN | 9780387711638 (ebook) |
| ISBN | 0387711635 (ebook) |
Availability
| Library | Location | Call Number | Status | Item Actions |
|---|---|---|---|---|
| Joyner | General Stacks | HG106 .H53 2007 | ✔ Available | Place Hold |