FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL

DOI10.1142/S0219024901001140MaRDI QIDQ3523588zbMATH OpenFDO

Authors Barbara M. Jamieson, Robert J. Elliot, William C. Hunter

Publication date 3 September 2008

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/S0219024901001140

zbMATH Keywords

term structurebond pricinghidden Markov model, filtering

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Recommendations

• The Term Structure of Interest Rates in a Hidden Markov Setting
• Bond pricing in a hidden Markov model of the short rate
• The estimation of the Heath-Jarrow-Morton model by use of Kalman filtering techniques
• A hidden Markov model of credit quality
• scientific article; zbMATH DE number 1772498

Cites work

• A YIELD‐FACTOR MODEL OF INTEREST RATES
• Exact adaptive filters for Markov chains observed in Gaussian noise
• Martingales and arbitrage in multiperiod securities markets
• Mortgages and Markov Chains: A Simplified Evaluation Model
• Multi-factor term structure models
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates

Cited in

(29)

• Option pricing and filtering with hidden Markov-modulated pure-jump processes
• An automated financial indices-processing scheme for classifying market liquidity regimes
• Pricing credit derivatives in a Markov-modulated reduced-form model
• A time-varying Markov chain model of term structure.
• Risk measures for derivatives with Markov-modulated pure jump processes
• Online estimation for a predictive analytics platform with a financial-stability-analysis application
• A new method for option pricing via time-fractional PDE
• A high-order Markov-switching model for risk measurement
• Adaptive signal processing of asset price dynamics with predictability analysis
• Option pricing and Esscher transform under regime switching
• An exact formula for pricing American exchange options with regime switching
• Option pricing when the regime-switching risk is priced
• Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model
• A PDE approach for risk measures for derivatives with regime switching
• On Markov‐modulated Exponential‐affine Bond Price Formulae
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• The Term Structure of Interest Rates in a Hidden Markov Setting
• Regime switching term structure model under partial information
• Pricing defaultable bonds in a Markov modulated market
• A game theoretic approach to option valuation under Markovian regime-switching models
• Utility-based indifference pricing in regime-switching models
• A hidden Markov regime-switching model for option valuation
• Pricing options with credit risk in Markovian regime-switching markets
• Optimal portfolios with regime switching and value-at-risk constraint
• A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL
• Empirical study on option pricing under Markov regime switching economics
• A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
• Martingale representation and admissible portfolio process with regime switching

This page was built for publication: FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3523588)