Hidden Markov models in finance. Further developments and applications. Volume II
DOI10.1007/978-1-4899-7442-6zbMATH Open1291.91006OpenAlexW4293108444MaRDI QIDQ2014829FDOQ2014829
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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
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- Hidden Markov models for financial optimization problems
- Hidden Markov models. Applications to financial economics.
- EM algorithm for stochastic hybrid systems
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- A data-driven approach for a class of stochastic dynamic optimization problems
- The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework
- Time-consistent risk-constrained dynamic portfolio optimization with transactional costs and time-dependent returns
- Dynamic allocations for currency futures under switching regimes signals
- A simplified matrix formulation for sensitivity analysis of hidden Markov models
- Filtering Response Directions
- Pricing a guaranteed annuity option under correlated and regime-switching risk factors
- 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
- Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation
- On multinomial hidden Markov model for hierarchical manpower systems
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