Hidden Markov Models in Finance
| Autor: | Rogemar S. Mamon, Robert J Elliott |
|---|---|
| EAN: | 9780387711638 |
| eBook Format: | |
| Sprache: | Englisch |
| Produktart: | eBook |
| Veröffentlichungsdatum: | 26.04.2007 |
| Kategorie: | |
| Schlagworte: | 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 |
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A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events - the random 'noise' of financial markets - to analyze core components.
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