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Author:   Rogemar S. Mamon ,  Robert J. Elliott
Publisher:   Springer-Verlag New York Inc.
Imprint:   Springer-Verlag New York Inc.
Edition:   Softcover reprint of the original 1st ed. 2014
Volume:   209
Dimensions:   Width: 15.50cm , Height: 1.50cm , Length: 23.50cm
Weight:   4.336kg
ISBN:  

9781489979674

ISBN 10:   1489979670
Pages:   261
Publication Date:   23 August 2016
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand  
We will order this item for you from a manufactured on demand supplier.

Table of Contents

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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