Hidden Markov Models in Finance
Publication year: 2007
ISBN: 978-0-387-71163-8
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A number of methodologies have been employed to provide decision making solutions to a whole assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance by Mamon and Elliott will be the first systematic application of these methods to some special kinds of financial problems; namely, pricing options and variance swaps, valuation of life insurance policies, interest rate theory, credit risk modeling, risk management, analysis of future demand and inventory level, testing foreign exchange rate hypothesis, and early warning systems for currency crises.
Subject: Business and Economics, Finance, Markov, Markov chain, Markov model, Markov models, Variance, credit risk modeling, early warning systems, interest rates, interest rates, life insurance valuation, market risk, model, modeling, regime-switching
