Hidden Markov Models in Finance: Further Developments and Applications, Volume II - Softcover
Book 198 of 323: International Series in Operations Research & Management Science
Synopsis
Robustification 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.
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