Hidden Markov Models in Finance金融业中的隐马尔可夫模型
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作者： Rogemar S. Mamon 著
出 版 社：
出版时间： 2007-4-1字数：版次： 1页数： 184印刷时间： 2007/04/01开本： 16开印次： 1纸张： 胶版纸I S B N ： 9780387710815包装： 精装内容简介
A number of methodologies have been employed to provide decision making solutions to a whole assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance by Mamon and Elliott will be the first systematic application of these methods to some special kinds of financial problems; namely, pricing options and variance swaps, valuation of life insurance policies, interest rate theory, credit risk modeling, risk management, analysis of future demand and inventory level, testing foreign exchange rate hypothesis, and early warning systems for currency crises. This book provides researchers and practitioners with analyses that allow them to sort through the random "noise" of financial markets (i.e., turbulence, volatility, emotion, chaotic events, etc.) and analyze the fundamental components of economic markets. Hence, Hidden Markov Models in Finance provides decision makers with a clear, accurate picture of core financial components by filtering out the random noise in financial markets.
目录
1An Exact Solution of the Term Structure of Interest Rateunder Regime.Switching Risk Shuwz.Yong Zeng
1.1Introduction
1.2A new representation for modeling regime shift
1.3The model
1.3.1TWO state variables
1.3.2Pricing kernel
1.3.3The risk.neutral probability measure
1.3.4The term structure of interest rates
1.4A tractable specification with exact solution
1.4.1Affine regimeswitching models
1.5Conclusions
References
2The Term Structure of Interest Rates in a Hidden MarkovSetting
Robert，Elliott.Craig A.WiIson
2.1 Introduction
2.2The Model
2.2.1The Markov chain
2.2.2The shortterm interest rate
2.2.3The zerOcoupon bond value
2.3Implementation
2.4Results
2.5Conclusion
References
3On Fair Valuation of Participating Life Insurance Policies With Regime Switching Tak Kuen Siu
3.1 Introduction
3.2 The model dynamics
3.3Dimension reduction to regime-switching PDE
3.4Further investigation
References.
4Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets
Robert，Elliott.Anatoliy矿Swishchuk
4.1 Introduction
4.2Literature review
4.3Martingale characterization ofMarkov processes
4.4Pricing options for Markovmodulated security markets
4.4.1Incompleteness of Markovmodulated Brownian security markets
4.4.2The Black-Scholes formula for pricing options in a Markovmodulated Brownian market
4.5Pricing options for Markov-modulated Brownian markets with jumps
4.5.1Incompleteness of Markovmodulated Brownian （B，S）-security markets withjumps
4.5.2BlackScholes formula for pricing options in Markovmodulated Brownian fB，S）-security market with jumps
4.6 Pricing of Variancev swaps for stochastic volatility driven by Markov process.
4.6.1 Stochastic volatility driven by Markov process.
4.6.2Pricing of variance swaps for stochastic volatility driven by Markov process
4.6.3 Example of variance SWap for stochastic volatility driven by tw0state COntinuous Markov chainA
A Some auxiliary results.
A.1 A FeynmannKac formula for the Markovmodulated
process（Ys（t），Xs（t））t＞s
A.2 Formula for the option price FT（ST） for the market
combined Markovmodulated（B，Sl-security market and
compound geometric Poisson process（see Section 4.4.2）
Referrences
……
5 Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality
6 Expectde Shortfall Under a Model With Market and Credit Risks
7 Filtering of Hidden Weak Markov Chain-Discrete Range Observations
8 Filtering of a Partially Observed Inventory Sytem
9 An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market
10 Early Warning Systems for Currency Crises：A Regime-Switchng Approach