Hidden Markov Models in Finance
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Beschreibung
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. 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.
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. 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.
Robert J. Elliott is a distinguished research professor who has developed the area of Hidden Markov Models and Rogemar Mamon is a young researcher who is focusing his research efforts in this area. Robert Elliott has published exclusively in the area of Hidden Markov Models, and he is the author of leading books in the field — Hidden Markov Models and Mathematics of Financial Markets Leading researchers have been commissioned to do chapter treatments on the following topics: Option Pricing, Interest Rate Theory, Credit Risk Modeling, Portfolio Optimization and Asset Allocation, Volatility Estimation, Electricity and other Commodity Pricing, and Real Options Includes supplementary material: sn.pub/extras
A number of methodologies have been employed to provide decision making solutions to a wide assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to highly specialized financial problems including option pricing, interest rate theory, credit risk modeling, portfolio optimization and asset allocation, volatility estimation, electricity and other commodity pricing, weather, currency, and real options. This book provides researchers and practitioners with analyses that allow them to sort through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – and analyze their fundamental components. Decision makers will benefit from its clear, accurate picture of core financial components.
Autor*in
Rogemar S. Mamon
Themen in »Hidden Markov Models in Finance«
Finance Markov Markov chain Markov model Markov models Variance credit risk modeling early warning systems interest rates inventory system life insurance valuation market risk model modeling regime-switching