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Hidden Markov Models in Finance
Hardcover
Series: International Operations Research & Management Science, Book 104
Business GeneralGeneral MathematicsProbability & Statistics
ISBN13: 9780387710815
Publisher: Springer Nature
Published: Apr 24 2007
Pages: 186
Weight: 0.96
Height: 0.74 Width: 6.43 Depth: 9.54
Language: English
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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