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Hidden Markov Models in Finance · Study

BookHidden Markov Models in Finance

Rogemar S. Mamon2007

Book2007

Hidden Markov Models in Finance

Rogemar S. Mamon · Robert James Elliott

138 citations·0/0 files stored·Springer eBooks

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Stochastic processes and financial applications Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1973The Pricing of Options and Corporate Liabilities 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1968Fractional Brownian Motions, Fractional Noises and Applications 2005Theory of rational option pricing 1995Pricing Derivatives on Financial Securities Subject to Credit Risk 1996Modeling the conditional distribution of interest rates as a regime-switching process 1997A Markov Model for the Term Structure of Credit Risk Spreads 2007Modelling Financial Time Series

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2011Efficient estimation of Markov regime-switching models: An application to electricity spot prices 2012A radial basis collocation method for pricing American options under regime-switching jump-diffusion models 2010Bond pricing under a Markovian regime-switching jump-augmented Vasicek model via stochastic flows 2024Dynamic datasets and market environments for financial reinforcement learning 2013A dynamic analysis of stock markets using a hidden Markov model

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2007Pricing Options and Variance Swaps in Markov-Modulated Brownian Marketschapter · 6 shared references 2000Regime switching in foreign exchange rates:article · 5 shared references 2003The Term Structure of Real Rates and Expected Inflationpreprint · 5 shared references 2010The Econometrics of Option Pricingchapter · 5 shared references 2003Forecasting Volatility in Financial Markets: A Reviewarticle · 4 shared references 2003Term Structure Dynamics in Theory and Realityarticle · 4 shared references

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Year2007

Typebook

Published2007-01-01

VenueSpringer eBooks

Languageen

Citations138

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/0-387-71163-5

openalex_workW1513350018

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2018

Hidden Markov and Semi-Markov Models with Multivariate Leptokurtic-Normal Components for Robust Modeling of Daily Returns Series

2013Pricing variance swaps under a stochastic interest rate and volatility model with regime-switching

2012Longevity bond pricing under stochastic interest rate and mortality with regime-switching