Elliott, Robert J.
Hidden Markov Models in Finance
1. An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk
Shu Wu, Yong Zeng
2. The Term Structure of Interest Rates in a Hidden Markov Setting
Robert J. Elliott, Craig A. Wilson
3. On Fair Valuation of Participating Life Insurance Policies With Regime Switching
Tak Kuen Siu
4. Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets
Robert J. Elliott, Anatoliy V. Swishchuk
5. Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
Malgorzata W. Korolkiewicz, Robert J. Elliott
6. Expected Shortfall Under a Model With Market and Credit Risks
Kin Bong Siu, Hailiang Yang
7. Filtering of Hidden Weak Markov Chain -Discrete Range Observations
Shangzhen Luo, Allanus H. Tsoi
8. Filtering of a Partially Observed Inventory System
Lakhdar Aggoun
9. An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market
Emilio Russo, Fabio Spagnolo, Rogemar Mamon
10. Early Warning Systems for Currency Crises: A Regime-Switching Approach
Abdul Abiad
DRM-restrictions
Printing: not available
Clipboard copying: not available
Keywords: BUSINESS & ECONOMICS / Management Science BUS042000
- Author(s)
- Elliott, Robert J.
- Mamon, Rogemar S.
- Publisher
- Springer
- Publication year
- 2007
- Language
- en
- Edition
- 1
- Category
- Economy
- Format
- Ebook
- eISBN (PDF)
- 9780387711638