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Business & Economics General

Hidden Markov Models in Finance

by (author) Rogemar S. Mamon

edited by Robert J. Elliott

Publisher
Springer/Sci-Tech/Trade
Initial publish date
Apr 2007
Category
General
  • Hardback

    ISBN
    9780387710815
    Publish Date
    Apr 2007
    List Price
    $160.95

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Description

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 Financeby 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 Financeprovides decision makers with a clear, accurate picture of core financial components by filtering out the random noise in financial markets.

 

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