Hidden Markov Models in Finance金融业中的隐马尔可夫模型 pdf mobi txt 2024 电子版 下载

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.

1　An Exact Solution of the Term Structure of Interest Rateunder Regime.Switching Risk Shuwz.Yong Zeng

1.1　Introduction

1.2　A new representation for modeling regime shift

1.3　The model

1.3.1　TWO state variables

1.3.2　Pricing kernel

1.3.3　The risk.neutral probability measure

1.3.4　The term structure of interest rates

1.4　A tractable specification with exact solution

1.4.1　Affine regimeswitching models

1.5　Conclusions

References

2　The Term Structure of Interest Rates in a Hidden MarkovSetting

Robert，Elliott.Craig A.WiIson

2.1 Introduction

2.2　The Model

2.2.1　The Markov chain

2.2.2　The shortterm interest rate

2.2.3　The zerOcoupon bond value

2.3　Implementation

2.4　Results

2.5　Conclusion

References

3　On Fair Valuation of Participating Life Insurance Policies With Regime Switching Tak Kuen Siu

3.1 Introduction

3.2 The model dynamics

3.3　Dimension reduction to regime-switching PDE

3.4　Further investigation

References.

4　Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets

Robert，Elliott.Anatoliy矿Swishchuk

4.1 Introduction

4.2　Literature review

4.3　Martingale characterization ofMarkov processes

4.4　Pricing options for Markovmodulated security markets

4.4.1　Incompleteness of Markovmodulated Brownian security markets

4.4.2　The Black-Scholes formula for pricing options in a Markovmodulated Brownian market

4.5　Pricing options for Markov-modulated Brownian markets with jumps

4.5.1　Incompleteness of Markovmodulated Brownian （B，S）-security markets withjumps

4.5.2　BlackScholes 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.

4.6.2　Pricing 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

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• 作者：Koji 发布时间：2009-05-06 22:23:46

  有些章节很流畅，有些章节(尤其是ADD那一节)狗屁不通。另，如果没有实践项目经验，看此书得到的理论太抽象。

• 作者：苏豆芽 发布时间：2018-03-21 16:31:09

  我看书多且杂有极大好处，任何一本书都能在某一个时间点意外的启发我。详见长评吧。

• 作者：静女 发布时间：2020-10-26 16:51:31

  凡尔纳很有想象力，系列小说都让人喜爱。

• 作者：一月 发布时间：2016-11-03 17:27:40

  挺水，印刷又糙。

• 作者：嘘嘘姐 发布时间：2021-10-28 20:21:50

  主要是讲韩裔的事情。

• 作者：鱼·无 发布时间：2009-11-10 22:56:51

  我家里收集的就是这个版本

• 很精辟 回忆 初中

  作者：【~格调之触 发布时间：2009-10-28 17:55:12

  还是 初中时候的记忆

  一套买回来了

  买一本读一本

  嗯 给了我很多的启发

  短小精辟的文章

  平凡的故事 中透出 人生的真理

  哦 细心的男人

  给我们 讲述 做人的原则和准则！

  -------------------------

  以前的书评。

• 山海戮第一卷读后感

  作者：千叶竹 发布时间：2019-08-29 19:13:24

  做的已经很不错了，在短短四话写出个吸引人的开端还有丝毫不脸谱化的人物，但缺点也有，例如被众人诟病的印刷问题，很多暗乎乎的页基本上看不清，还有某些人物的台词仿佛不太协调，想要写出文绉绉的感觉，但还是欠了些味道。总之期待第二本还有大量的周边（指设定集）…

  

  收到的签绘！❤️

  

  签售场就有人指出的印刷问题

  

  赤道周的一些台词总感觉怪怪的…

  祝山海戮早出第二卷！（青岛签售场请安排上…）