LEADER 05244nam 22007095 450 001 9910298163903321 005 20200919190058.0 010 $a1-4899-7442-3 024 7 $a10.1007/978-1-4899-7442-6 035 $a(CKB)3710000000114088 035 $a(EBL)1730870 035 $a(OCoLC)880358448 035 $a(SSID)ssj0001237293 035 $a(PQKBManifestationID)11767534 035 $a(PQKBTitleCode)TC0001237293 035 $a(PQKBWorkID)11249811 035 $a(PQKB)11612860 035 $a(MiAaPQ)EBC1730870 035 $a(DE-He213)978-1-4899-7442-6 035 $a(PPN)178783501 035 $a(EXLCZ)993710000000114088 100 $a20140514d2014 u| 0 101 0 $aeng 135 $aur|n|---||||| 181 $ctxt 182 $cc 183 $acr 200 10$aHidden Markov Models in Finance$b[electronic resource] $eFurther Developments and Applications, Volume II /$fedited by Rogemar S. Mamon, Robert J. Elliott 205 $a1st ed. 2014. 210 1$aNew York, NY :$cSpringer US :$cImprint: Springer,$d2014. 215 $a1 online resource (280 p.) 225 1 $aInternational Series in Operations Research & Management Science,$x0884-8289 ;$v209 300 $aDescription based upon print version of record. 311 $a1-4899-7441-5 320 $aIncludes bibliographical references. 327 $aRobustification 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. 330 $aSince the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors? Hidden Markov Models in Finance (2007), this offers the latest research developments and applications of HMMs to finance and other related fields. Amongst the fields of quantitative finance and actuarial science that will be covered are: interest rate theory, fixed-income instruments, currency market, annuity and insurance policies with option-embedded features, investment strategies, commodity markets, energy, high-frequency trading, credit risk, numerical algorithms, financial econometrics and operational risk. Hidden Markov Models in Finance: Further Developments and Applications, Volume II presents recent applications and case studies in finance, and showcases the formulation of emerging potential applications of new research over the book?s 11 chapters. This will benefit not only researchers in financial modeling, but also others in fields such as engineering, the physical sciences and social sciences. Ultimately the handbook should prove to be a valuable resource to dynamic researchers interested in taking full advantage of the power and versatility of HMMs in accurately and efficiently capturing many of the processes in the financial market. 410 0$aInternational Series in Operations Research & Management Science,$x0884-8289 ;$v209 606 $aOperations research 606 $aDecision making 606 $aFinance 606 $aProbabilities 606 $aOperations Research/Decision Theory$3https://scigraph.springernature.com/ontologies/product-market-codes/521000 606 $aFinance, general$3https://scigraph.springernature.com/ontologies/product-market-codes/600000 606 $aProbability Theory and Stochastic Processes$3https://scigraph.springernature.com/ontologies/product-market-codes/M27004 615 0$aOperations research. 615 0$aDecision making. 615 0$aFinance. 615 0$aProbabilities. 615 14$aOperations Research/Decision Theory. 615 24$aFinance, general. 615 24$aProbability Theory and Stochastic Processes. 676 $a332.01519233 702 $aMamon$b Rogemar S$4edt$4http://id.loc.gov/vocabulary/relators/edt 702 $aElliott$b Robert J$4edt$4http://id.loc.gov/vocabulary/relators/edt 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a9910298163903321 996 $aHidden Markov Models in Finance$92514980 997 $aUNINA