Hidden Markov Models in Finance

Further Developments and Applications, Volume II

Editors:

ISBN: 978-1-4899-7441-9 (Print) 978-1-4899-7442-6 (Online)

Table of contents (11 chapters)

  1. Front Matter

    Pages i-xxii

  2. No Access

    Book Chapter

    Pages 1-31

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

  3. No Access

    Book Chapter

    Pages 33-53

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

  4. No Access

    Book Chapter

    Pages 55-83

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

  5. No Access

    Book Chapter

    Pages 85-116

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

  6. No Access

    Book Chapter

    Pages 117-132

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

  7. No Access

    Book Chapter

    Pages 133-166

    Hedging Costs for Variable Annuities Under Regime-Switching

  8. No Access

    Book Chapter

    Pages 167-184

    A Stochastic Approximation Approach for Trend-Following Trading

  9. No Access

    Book Chapter

    Pages 185-209

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

  10. No Access

    Book Chapter

    Pages 211-226

    An Exact Formula for Pricing American Exchange Options with Regime Switching

  11. No Access

    Book Chapter

    Pages 227-240

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

  12. No Access

    Book Chapter

    Pages 241-261

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