Hidden Markov models in finance: 2 Further developments and applications
Gespeichert in:
| Format: | Buch |
|---|---|
| Sprache: | English |
| Veröffentlicht: |
New York, NY
Springer
2014
|
| Schriftenreihe: | International series in operations research & management science
209 |
| Online-Zugang: | Inhaltsverzeichnis Abstract |
| Beschreibung: | XXII, 261 S. graph. Darst. |
| ISBN: | 9781489974419 |
Internformat
MARC
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| 005 | 20190412 | ||
| 007 | t | ||
| 008 | 140612s2014 gw d||| |||| 00||| eng d | ||
| 020 | |a 9781489974419 |c pbk. |9 978-1-4899-7441-9 | ||
| 035 | |a (OCoLC)881811338 | ||
| 035 | |a (DE-599)BVBBV041904231 | ||
| 040 | |a DE-604 |b ger |e rakwb | ||
| 041 | 0 | |a eng | |
| 044 | |a gw |c XA-DE-BE | ||
| 049 | |a DE-521 |a DE-355 | ||
| 084 | |a QP 890 |0 (DE-625)141965: |2 rvk | ||
| 245 | 1 | 0 | |a Hidden Markov models in finance |n 2 |p Further developments and applications |c ed. by Rogemar S. Mamon ... |
| 264 | 1 | |a New York, NY |b Springer |c 2014 | |
| 300 | |a XXII, 261 S. |b graph. Darst. | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a International series in operations research & management science |v 209 | |
| 490 | 0 | |a International series in operations research & management science |v ... | |
| 700 | 1 | |a Mamon, Rogemar S. |e Sonstige |4 oth | |
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| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |z 978-1-4899-7442-6 |
| 830 | 0 | |a International series in operations research & management science |v 209 |w (DE-604)BV011630976 |9 209 | |
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| 999 | |a oai:aleph.bib-bvb.de:BVB01-027347906 | ||
Datensatz im Suchindex
| _version_ | 1804152261613453312 |
|---|---|
| adam_text | Contents
í R
o bu
s
tifica ti
o n
of an On-line EM Algorithm for
ModeUÌDg
Asset
Prices Within an
HMM
...................................... 1
Chrisüna
ErlweJLD-Sayer and Peter Ruckdeschel
1.1
Introduction
..............................................
I
1.2
Hidden Markov Model Framework for Asset Returns
..........- 3
1.3
Essential Steps in Elliott s Algorithm
......................... 4
1.3.1
Change of Measure
................................ 4
1.3.2
Filtering for General Adapted Processes
............... 4
1.3.3
Filter-Based EM Algorithm.
......................... 7
1.3.4
Summary of Algorithm
............................... 8
1.4
Outliers in Asset Allocation Problem
........................... 8
1.4.
1 Outliers
ід
General
................................. 8
1.4.2
Time-Dependent Context: Exogenous and Endogenous
Qtd&eis
........ .___.................................,.,.,.. 9
1.4.3
Bvidei&ce for
Robusta
ess Issue
ш
Asset Allocation
....,. 10
Ï.S
Roibost
Stetìsécs
..........................................___........ „ 12
1ЉЛ
ОшжщМ
of Riotous*
Stausees...,.,,,.___.....,......____ 12
1Л.2
Otti
RiObüstxßca&OQ
of tbe
HMM;
General
Stratégy
___
,.
14
L.5.3 RobosíificaLion
of
Steřp
(0) . . ............___.....
,
.......___ 15
L5.4
Robustìfic&tìon
of
Йае
E-Step
.........
,
.......
,
................. . 15
1.5.5
Robustifjcaüon
of
tibe
(MD-Step............................... . 18
1.6
Ішріетеп
tatìon
and Simala
tion
. .................................... 23
1.7
CoucIusìod
..................................................... 24
1.7.1
Contríbuüon
of This Paper
............................ 24
1.7.2
Outlook
.................................................. 26
Appendix
............................................-................... 27
References
. . . -.................................................. 29
Contents
Stochastic Volatility or Stochastic Central Tendency: Evidence
from a Hidden Markov Model of the Short-Term Interest Rate
..... 33
Craig A. Wilson
ал
d
Robert
J. Klliott
2.1.
Introduction
.............................................. 33
2.2
The Model
............................................... 36
2.3
Maximum I Jkelihood Estimation
............................ 37
2.4
The Likelihood Function
................................... 37
2.5
The Interest Rate Model
.................................... 39
2.6
Data
.................................................... 40
2.7
Results
.................................................. 45
2.8
Conclusion
............................................... 51
References
..................................................... 52
An Econometric Model of the Term Structure of Interest Rates
Under Regime-Switching Risk
................................. 55
Shu Wu and Yong
Zeng
3.1.
In
írod
u c ti o n..............................................
55
3.2
The Model
............................................... 58
3-2.1
A Simple Representation of Markov Regime Shifts
..... 58
3.2.2
Other Stale Variables
............................... 59
3.2.3
The Term Structure of
interest
Rates
.................. 60
3.2.4
Bond Risk Premiums Under Regime Shifts
............ 61
3.2.5
An
Affine Regime
Switching Model
................... 63
3.2.6
The Effects of Regime Shifts on
lhe
Yield Curve
....... 66
3.3
Empirical Results
......................................... 68
3-3.1
Data and Summary Statistics
....................... . 68
3.3.2
Estimation Procedure
.............................. 70
3.3.3
Discussions
...................................... 74
3.4
Conclusion
............................................... 80
References
...............................-..................... 80
The LTBOR Market Model: A Markov-Switching Jump Diffusion
Extension
.................................................. 85
Lea Steiarvjcke,
Rudi Zagst,
and Anatoliy
Swishchuk
4.1
Introduction
.............................................. 85
4.2
Mathematical
Přeli ruin
ari.es
................................. 87
4.3
The Log-Normal
LIBOR
Framework
......................... 90
4.3.1
An Introduction to the
LIBOR
Market Model: The
Log-Normal Dynamics
............................. 91
4-3.2
Pricing of Caps and Floors in the Log-Normal EMM
..... 93
4.4
The Markov-Switching Jump Diffusion (M^SFD) Extension
of the I MM
.............................................. 94
4.4.1
Presenting the Extended
Framework
.................. 95
4.4.2
The Measure Changes and Its Consequences
........... 97
4.5
Pricing in the MSJD Framework
. -............................
f
00
4.5.1
Determining the Characteristic Function of
Уд/—і
....... 101
Contents
χ ι
4.5.2
Determining
lhe
Characteristic Function
of Yj,j
---- 1,. ..,N-2..............................105
4.6
Calibration
..................................._............105
4.6.1
The Data
.........................................106
4.6.2
Discussion of the Results of the Calibration
............1.08
4.7
Conclusion
...............................................112
References
.................:...................................114
5
Exchange Rates and Net Portfolio Flows: A Markov-Switching
Approach
.................................................. 117
Fa
e k Menia
Ali, Fabio Spagnolo,
ал
d
Nicola Spagnolo
5.1
Introduction
..............................................117
5.2
The Model
...............................................119
5.3
Data
....................................................120
5.4
Empirical Results
....................... ..................122
5.5
Conclusions
..............................................129
References
.....................................................130
6
Hedging Costs for Variable Annuities Under Regime-Switching
..... 133
Pars ¡ad Azimzadeh,
Peter A. Forsyth,
and Kenneth R. Vetzal
6.1
Introduction
..............................................1.34
6.2 1
¡edging Costs
............................................136
6.2.1
Deriváljon
of the Pricing
Equation
...................1 37
6.2.2
Events
...........................................139
6.2.3
Loss-Maximizing Strategies
.........................141
6.2.4
Regime Switching
.................................142
6.3
Optimal Consumption
..............-......................143
6.3.1
Utility PDE
......................................144
6.3.2
Events
...........................................144
6.3.3
Consumption-Optima] Withdrawal
...................145
6.3.4
Regime-Switching
.................................146
6.3.5
Hyperbolic Absolute Rjsk-Aversion
..................147
6.4
Numerica.!
Method
........................................147
6.4.1
Homogeneity
.....................................147
6.4.2
Localized Problem and Boundary Conditions
..........150
6.4.3
Determining the Hedging Cost Fee
....................151
6.5
Results
..................................................151
6.5.1
Loss-MaxiCTiizing and Contract Rate Withdrawal
.......151
6.5.2
Consumption-Optimal Withdrawal
....................154
6.6
Conclusion
...............................................159
Appendix
.................................... ............ .... 160
References
.....................................................165
xii
Contents
7
A Stochastic
Approximation
Approach for Trend-Following
IVa
ding
.................................................... 167
Duy Nguyen, George Yin, and Qing Zhang
7.1
Introduction
..............................................167
7.2
Problem formulation
.......................................168
7.3
Asymptotic Properties
.....................................171
7.4
Numerical Examples
......................................176
References
.....................................................183
8
A Hidden Markov-Modulated Jump Diffusion Model for European
Option Pricing
185
Так
Knen
S
iu
8.1
Introduction
..............................................185
8.2
Hidden
Reginie
Switching Jump-Diffusion Market
.............188
8.3
Filtering Theory and Filtered Market
.........................192
8.3.1
The Separation Principle
...........................192
8.3.2
Filtering Equations
................................194
8.4
Generalized
Es seh er
Transform in the Filtered Market
..........
J
98
8.5
Huropean-Style Option
.................................... . 203
8.6
Conclusion
...............................................207
References
.........-...........................................207
9
An Exact Formula for Pricing American Exchange Options
with Regime Switching
.......................................21.1
Leung]
ung
Chan
9.
і
Introduction
..............................................211
9.2
Asset Price Dynamics
...................-..................213
9.3
Problem Formulation
......................................215
9.4
A. Closed-Form Formula
...................................219
9.5
Conclusion
...............................................224
References
.....................................................224
10
Parameter Estimation in a Weak Hidden Markov Model
with Independent Drift and Volatility
......... 227
Xiaojing
Xi
and Rogemar S.
Mamon
10.1
Introduction
...............................................227
10.2
Modelling Background
.....................................230
10.3
Filters and Parameter Estimation
......................... ... 231
J
0.4
Numerical Implementation
.................................235
1 0.5
Conclusion
................................................ 239
References
.....................................................239
11
Parameter Estimation in a Regime-Switching Model
with Non-normal Noise
.......................................241
Luka
Ja.len and Rogemar S.
Mamon
111 Introduction
..............................................241
Contents
xii
j
11.2
Model Set Up
...........................................242
11.3
Reference Probability Measure
..............................243
11.4
Recursive
Esuraaüon
......................................244
11.5
Parameter
Listi
mation
......................................246
11.5.1
HM Al gon
ih
m
and
Lhe
Estimation of
Transition
Probabilities
.....................................247
11.5.2
Student s
f
-Distributed Norse Term
....................248
11.6
Numerica]
Application of
Lhe
Fillers
.........................252
11.6.1
Filtering Using Simulated Data
......................252
11.6.2
Application of the Filters to Observed Market Data
.....25 8
1 ! .7
Conclusions
..............................................260
References
.....................................................261
HIDDEN MARKOV MODELS IN FINANCE
/
: 2014
ABSTRACT / INHALTSTEXT
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), THIS OFFERS
THE LATEST RESEARCH DEVELOPMENTS AND APPLICATIONS OF HMMS TO FINANCE AND
OTHER RELATED FIELDS. AMONGST THE FIELDS OF QUANTITATIVE FINANCE AND
ACTUARIAL SCIENCE THAT WILL BE COVERED ARE: INTEREST RATE THEORY,
FIXED-INCOME INSTRUMENTS, CURRENCY MARKET, ANNUITY AND INSURANCE
POLICIES WITH OPTION-EMBEDDED FEATURES, INVESTMENT STRATEGIES, COMMODITY
MARKETS, ENERGY, HIGH-FREQUENCY TRADING, CREDIT RISK, NUMERICAL
ALGORITHMS, FINANCIAL ECONOMETRICS AND OPERATIONAL RISK. HIDDEN MARKOV
MODELS IN FINANCE: FURTHER DEVELOPMENTS AND APPLICATIONS, VOLUME II
PRESENTS RECENT APPLICATIONS AND CASE STUDIES IN FINANCE, AND SHOWCASES
THE FORMULATION OF EMERGING POTENTIAL APPLICATIONS OF NEW RESEARCH OVER
THE BOOK’S 11 CHAPTERS. THIS WILL BENEFIT NOT ONLY RESEARCHERS IN
FINANCIAL MODELING, BUT ALSO OTHERS IN FIELDS SUCH AS ENGINEERING, THE
PHYSICAL SCIENCES AND SOCIAL SCIENCES. ULTIMATELY THE HANDBOOK SHOULD
PROVE TO BE A VALUABLE RESOURCE TO DYNAMIC RESEARCHERS INTERESTED IN
TAKING FULL ADVANTAGE OF THE POWER AND VERSATILITY OF HMMS IN ACCURATELY
AND EFFICIENTLY CAPTURING MANY OF THE PROCESSES IN THE FINANCIAL MARKET
DIESES SCHRIFTSTUECK WURDE MASCHINELL ERZEUGT.
|
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| id | DE-604.BV041904231 |
| illustrated | Illustrated |
| indexdate | 2024-07-10T01:07:54Z |
| institution | BVB |
| isbn | 9781489974419 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-027347906 |
| oclc_num | 881811338 |
| open_access_boolean | |
| owner | DE-521 DE-355 DE-BY-UBR |
| owner_facet | DE-521 DE-355 DE-BY-UBR |
| physical | XXII, 261 S. graph. Darst. |
| publishDate | 2014 |
| publishDateSearch | 2014 |
| publishDateSort | 2014 |
| publisher | Springer |
| record_format | marc |
| series | International series in operations research & management science |
| series2 | International series in operations research & management science |
| spelling | Hidden Markov models in finance 2 Further developments and applications ed. by Rogemar S. Mamon ... New York, NY Springer 2014 XXII, 261 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier International series in operations research & management science 209 International series in operations research & management science ... Mamon, Rogemar S. Sonstige oth (DE-604)BV041904206 2 Erscheint auch als Online-Ausgabe 978-1-4899-7442-6 International series in operations research & management science 209 (DE-604)BV011630976 209 Digitalisierung UB Regensburg - ADAM Catalogue Enrichment application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027347906&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis Springer Fremddatenuebernahme application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027347906&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA Abstract |
| spellingShingle | Hidden Markov models in finance International series in operations research & management science |
| title | Hidden Markov models in finance |
| title_auth | Hidden Markov models in finance |
| title_exact_search | Hidden Markov models in finance |
| title_full | Hidden Markov models in finance 2 Further developments and applications ed. by Rogemar S. Mamon ... |
| title_fullStr | Hidden Markov models in finance 2 Further developments and applications ed. by Rogemar S. Mamon ... |
| title_full_unstemmed | Hidden Markov models in finance 2 Further developments and applications ed. by Rogemar S. Mamon ... |
| title_short | Hidden Markov models in finance |
| title_sort | hidden markov models in finance further developments and applications |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027347906&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=027347906&sequence=000003&line_number=0002&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV041904206 (DE-604)BV011630976 |
| work_keys_str_mv | AT mamonrogemars hiddenmarkovmodelsinfinance2 |