Hidden Markov Models in Finance - International Series in Operations Research & Management Science
Latest Publications

TOTAL DOCUMENTS

11

(FIVE YEARS 0)

H-INDEX

3

(FIVE YEARS 0)

Published By Springer US

9781489974419, 9781489974426

Latest Documents Most Cited Documents Contributed Authors Related Sources Related Keywords

The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_4 ◽

2014 ◽

pp. 85-116 ◽

Author(s):

Lea Steinrücke ◽

Rudi Zagst ◽

Anatoliy Swishchuk

Keyword(s):

Markov Switching ◽

Jump Diffusion ◽

Market Model ◽

Libor Market Model

Download Full-text

An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_3 ◽

2014 ◽

pp. 55-83 ◽

Author(s):

Shu Wu ◽

Yong Zeng

Keyword(s):

Interest Rates ◽

Term Structure ◽

Regime Switching ◽

Econometric Model

Download Full-text

Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_1 ◽

2014 ◽

pp. 1-31 ◽

Author(s):

Christina Erlwein-Sayer ◽

Peter Ruckdeschel

Keyword(s):

Em Algorithm ◽

Asset Prices ◽

Download Full-text

A Stochastic Approximation Approach for Trend-Following Trading

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_7 ◽

2014 ◽

pp. 167-184 ◽

Author(s):

Duy Nguyen ◽

George Yin ◽

Qing Zhang

Keyword(s):

Stochastic Approximation ◽

Approximation Approach

Download Full-text

Hedging Costs for Variable Annuities Under Regime-Switching

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_6 ◽

2014 ◽

pp. 133-166 ◽

Author(s):

Parsiad Azimzadeh ◽

Peter A. Forsyth ◽

Kenneth R. Vetzal

Keyword(s):

Regime Switching ◽

Variable Annuities

Download Full-text

Parameter Estimation in a Regime-Switching Model with Non-normal Noise

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_11 ◽

2014 ◽

pp. 241-261 ◽

Author(s):

Luka Jalen ◽

Rogemar S. Mamon

Keyword(s):

Parameter Estimation ◽

Regime Switching ◽

Regime Switching Model ◽

Switching Model

Download Full-text

Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_10 ◽

2014 ◽

pp. 227-240 ◽

Author(s):

Xiaojing Xi ◽

Rogemar S. Mamon

Keyword(s):

Parameter Estimation ◽

Markov Model ◽

Hidden Markov Model ◽

Download Full-text

Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_5 ◽

2014 ◽

pp. 117-132 ◽

Author(s):

Faek Menla Ali ◽

Fabio Spagnolo ◽

Nicola Spagnolo

Keyword(s):

Exchange Rates ◽

Markov Switching ◽

Portfolio Flows

Download Full-text

Stochastic Volatility or Stochastic Central Tendency: Evidence from a Hidden Markov Model of the Short-Term Interest Rate

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_2 ◽

2014 ◽

pp. 33-53 ◽

Author(s):

Craig A. Wilson ◽

Robert J. Elliott

Keyword(s):

Interest Rate ◽

Markov Model ◽

Hidden Markov Model ◽

Stochastic Volatility ◽

Hidden Markov ◽

Central Tendency ◽

Download Full-text

An Exact Formula for Pricing American Exchange Options with Regime Switching

Hidden Markov Models in Finance - International Series in Operations Research & Management Science ◽

10.1007/978-1-4899-7442-6_9 ◽

2014 ◽

pp. 211-226

Author(s):

Leunglung Chan

Keyword(s):

Regime Switching ◽

Exact Formula ◽

Exchange Options

Download Full-text