Hidden Markov Models in Finance

Edited by Rogemar S. Mamon and Robert J. Elliott

in International Series in Operations Research and Management Science from Springer, currently edited by Camille C. Price, Joe Zhu and Frederick S. Hillier

Date: 2007
ISBN: 978-0-387-71163-8
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Chapters in this book:

Ch 1 An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk

Shu Wu and Yong Zeng

Ch 2 The Term Structure of Interest Rates in a Hidden Markov Setting

Robert J. Elliott and Craig A. Wilson

Ch 3 On Fair Valuation of Participating Life Insurance Policies With Regime Switching

Tak Kuen Siu

Ch 4 Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets

Robert J. Elliott and Anatoliy V. Swishchuk

Ch 5 Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality

Małgorzata W. Korolkiewicz and Robert J. Elliott

Ch 6 Expected Shortfall Under a Model With Market and Credit Risks

Kin Bong Siu and Hailiang Yang

Ch 7 Filtering of Hidden Weak Markov Chain -Discrete Range Observations

Shangzhen Luo and Allanus H. Tsoi

Ch 8 Filtering of a Partially Observed Inventory System

Lakhdar Aggoun

Ch 9 An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market

Emilio Russo, Fabio Spagnolo and Rogemar Mamon

Ch 10 Early Warning Systems for Currency Crises: A Regime-Switching Approach

Abdul Abiad

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DOI: 10.1007/0-387-71163-5

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