Hidden Markov Models in Finance
Editor
- Rogemar S. Mamon(University of Western Ontario)Robert J. Elliott(University of Adelaide)
Abstract
Individual chapters are listed in the "Chapters" tab
Suggested Citation
DOI: 10.1007/978-1-4899-7442-6
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Book Chapters
The following chapters of this book are listed in IDEAS- Christina Erlwein-Sayer & Peter Ruckdeschel, 2014. "Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 1-31, Springer.
- Craig A. Wilson & Robert J. Elliott, 2014. "Stochastic Volatility or Stochastic Central Tendency: Evidence from a Hidden Markov Model of the Short-Term Interest Rate," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 33-53, Springer.
- Shu Wu & Yong Zeng, 2014. "An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 55-83, Springer.
- Lea Steinrücke & Rudi Zagst & Anatoliy Swishchuk, 2014. "The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 85-116, Springer.
- Faek Menla Ali & Fabio Spagnolo & Nicola Spagnolo, 2014. "Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 117-132, Springer.
- Parsiad Azimzadeh & Peter A. Forsyth & Kenneth R. Vetzal, 2014. "Hedging Costs for Variable Annuities Under Regime-Switching," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 133-166, Springer.
- Duy Nguyen & George Yin & Qing Zhang, 2014. "A Stochastic Approximation Approach for Trend-Following Trading," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 167-184, Springer.
- Tak Kuen Siu, 2014. "A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 185-209, Springer.
- Leunglung Chan, 2014. "An Exact Formula for Pricing American Exchange Options with Regime Switching," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 211-226, Springer.
- Xiaojing Xi & Rogemar S. Mamon, 2014. "Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 227-240, Springer.
- Luka Jalen & Rogemar S. Mamon, 2014. "Parameter Estimation in a Regime-Switching Model with Non-normal Noise," International Series in Operations Research & Management Science, in: Rogemar S. Mamon & Robert J. Elliott (ed.), Hidden Markov Models in Finance, edition 127, chapter 0, pages 241-261, Springer.
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