This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathematical technicalitiesofcontinuoustime?nancewehopewehavemadethematerial accessible to a wide audience. Some of the developments and formulae appear here for the ?rst time in book form. We hope our book will appeal to various audiences. These include MBA s- dents, upperlevelundergraduatestudents, beginningdoctoralstudents, qu- titative analysts at a basic level and senior executives who seek material on new developments in ?nance at an accessible...
This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathemat...
Rogemar S. Mamon Robert J. Elliott Robert J. Elliott
A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events - the random "noise" of financial markets - to analyze core components.
A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the fi...
Aimed primarily at those outside of the field of statistics, this book not only provides an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion, but develops into an excellent user's guide to filtering. Including exercises for students, it will be a complete resource for engineers, signal processing researchers, or anyone with an interest in practical implementation of filtering techniques, in particular, the Kalman filter. Three separate chapters concentrate on applications arising in finance,...
Aimed primarily at those outside of the field of statistics, this book not only provides an accessible introduction to measure theory, stochastic calc...
This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathematical technicalitiesofcontinuoustime?nancewehopewehavemadethematerial accessible to a wide audience. Some of the developments and formulae appear here for the ?rst time in book form. We hope our book will appeal to various audiences. These include MBA s- dents, upperlevelundergraduatestudents, beginningdoctoralstudents, qu- titative analysts at a basic level and senior executives who seek material on new developments in ?nance at an accessible...
This book describes the modelling of prices of ?nancial assets in a simple d- crete time, discrete state, binomial framework. By avoiding the mathemat...
As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and other working with Hidden Markov Models the corrected 3rd printing of this volume contains clarifications, improvements and some new material, including results on smoothing for linear Gaussian dynamics.
In Chapter 2 the derivation of the basic filters related to the Markov chain are each presented explicitly, rather than as special cases of one general filter. Furthermore, equations for smoothed estimates are given. The dynamics for the...
As more applications are found, interest in Hidden Markov Models continues to grow. Following comments and feedback from colleagues, students and o...
This work is aimed at an audience with a sound mathematical background wishing to learn about the rapidly expanding ?eld of mathematical ?nance. Its content is suitable particularly for graduate students in mathematics who have a background in measure theory and probability. The emphasis throughout is on developing the mathematical concepts required for the theory within the context of their application. No attempt is made to cover the bewildering variety of novel (or 'exotic') ?nancial - struments that now appear on the derivatives markets; the focus throu- out remains on a rigorous...
This work is aimed at an audience with a sound mathematical background wishing to learn about the rapidly expanding ?eld of mathematical ?nance. Its c...
A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events - the random "noise" of financial markets - to analyze core components.
A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the fi...
Aimed primarily at those outside of the field of statistics, this book not only provides an accessible introduction to measure theory, stochastic calculus, and stochastic processes, with particular emphasis on martingales and Brownian motion, but develops into an excellent user's guide to filtering. Including exercises for students, it will be a complete resource for engineers, signal processing researchers, or anyone with an interest in practical implementation of filtering techniques, in particular, the Kalman filter. Three separate chapters concentrate on applications arising in finance,...
Aimed primarily at those outside of the field of statistics, this book not only provides an accessible introduction to measure theory, stochastic calc...
Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov models (HMMs) has become one of the hottest areas of research for such applications to finance. This handbook offers systemic applications of different methodologies that have been used for decision making solutions to the financial problems of global markets. As the follow-up to the authors' Hidden Markov Models in Finance (2007),...
Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, fina...
Revised and expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general theory of random processes as used by systems theorists, electronic engineers and, more recently, those working in quantitative, mathematical finance.Building upon the original release of this title it will be of great interest to research mathematicians and graduate students working in those fields, as well as quants in the finance industry.
New features ofthisedition include:
End of chapter exercises; New chapters on basic measure theory...
Revised and expanded, the new edition of this text takes readers who have been exposed to only basic courses in analysis through the modern general...
