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: 2014
Edition: 2014
ISBN: 978-1-4899-7442-6
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Chapters in this book:

Ch Chapter 1 Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM

Christina Erlwein-Sayer and Peter Ruckdeschel

Ch Chapter 10 Parameter Estimation in a Weak Hidden Markov Model with Independent Drift and Volatility

Xiaojing Xi and Rogemar S. Mamon

Ch Chapter 11 Parameter Estimation in a Regime-Switching Model with Non-normal Noise

Luka Jalen and Rogemar S. Mamon

Ch Chapter 2 Stochastic Volatility or Stochastic Central Tendency: Evidence from a Hidden Markov Model of the Short-Term Interest Rate

Craig A. Wilson and Robert J. Elliott

Ch Chapter 3 An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk

Shu Wu and Yong Zeng

Ch Chapter 4 The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension

Lea Steinrücke, Rudi Zagst and Anatoliy Swishchuk

Ch Chapter 5 Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach

Faek Menla Ali, Fabio Spagnolo and Nicola Spagnolo

Ch Chapter 6 Hedging Costs for Variable Annuities Under Regime-Switching

Parsiad Azimzadeh, Peter A. Forsyth and Kenneth R. Vetzal

Ch Chapter 7 A Stochastic Approximation Approach for Trend-Following Trading

Duy Nguyen, George Yin and Qing Zhang

Ch Chapter 8 A Hidden Markov-Modulated Jump Diffusion Model for European Option Pricing

Tak Kuen Siu

Ch Chapter 9 An Exact Formula for Pricing American Exchange Options with Regime Switching

Leunglung Chan

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DOI: 10.1007/978-1-4899-7442-6

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