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Hidden Markov Models in Finance|Rogemar S. Mamon

Hidden Markov Models in Finance

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Overview

A number of methodologies have been employed to provide decision making solutions to a wide assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to highly specialized financial problems including option pricing, interest rate theory, credit risk modeling, portfolio optimization and asset allocation, volatility estimation, electricity and other commodity pricing, weather, currency, and real options. This book provides researchers and practitioners with analyses that allow them to sort through turbulence, volatility, emotion, chaotic events - the random "noise" of financial markets - and analyze their fundamental components. Decision makers will benefit from its clear, accurate picture of core financial components.

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Details

  • ISBN-13: 9780387710815
  • ISBN-10: 0387710817
  • Publisher: Springer
  • Publish Date: April 2007
  • Dimensions: 9.54 x 6.43 x 0.74 inches
  • Shipping Weight: 0.96 pounds
  • Page Count: 186

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