Hidden Markov models in finance. Further developments and applications. Volume II

DOI10.1007/978-1-4899-7442-6MaRDI QIDQ2014829zbMATHOpenAlexFDO

Authors

Publication date 16 June 2014

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4899-7442-6

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Collections of articles of miscellaneous specific interest (00B15) Continuous-time Markov processes on general state spaces (60J25) Proceedings, conferences, collections, etc. pertaining to probability theory (60-06) Proceedings, conferences, collections, etc. pertaining to game theory, economics, and finance (91-06) Actuarial science and mathematical finance (91Gxx)

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Cited in

(15)

• A data-driven approach for a class of stochastic dynamic optimization problems
• Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
• Pricing a guaranteed annuity option under correlated and regime-switching risk factors
• A simplified matrix formulation for sensitivity analysis of hidden Markov models
• Methods for determining optimal mixed strategies in matrix games with correlated random payoffs
• EM algorithm for Markov chains observed via Gaussian noise and point process information: theory and case studies
• Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
• Filtering response directions
• On multinomial hidden Markov model for hierarchical manpower systems
• The valuation of a guaranteed minimum maturity benefit under a regime-switching framework
• Hidden Markov models for financial optimization problems
• Dynamic allocations for currency futures under switching regimes signals
• Hidden Markov models. Applications to financial economics.
• EM algorithm for stochastic hybrid systems
• scientific article; zbMATH DE number 7128895 (Why is no real title available?)

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