FINANCIAL SIGNAL PROCESSING: A SELF CALIBRATING MODEL
From MaRDI portal
Publication:3523588
DOI10.1142/S0219024901001140zbMath1153.91491MaRDI QIDQ3523588
Barbara M. Jamieson, William C. Hunter, Robert J. Elliot
Publication date: 3 September 2008
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
Related Items
Pricing Defaultable Bonds in a Markov Modulated Market ⋮ Option Pricing and Filtering with Hidden Markov-Modulated Pure-Jump Processes ⋮ Risk measures for derivatives with Markov-modulated pure jump processes ⋮ A new method for option pricing via time-fractional PDE ⋮ An Exact Formula for Pricing American Exchange Options with Regime Switching ⋮ Pricing options with credit risk in Markovian regime-switching markets ⋮ Utility-based indifference pricing in regime-switching models ⋮ Online estimation for a predictive analytics platform with a financial-stability-analysis application ⋮ A game theoretic approach to option valuation under Markovian regime-switching models ⋮ A COMPLETE YIELD CURVE DESCRIPTION OF A MARKOV INTEREST RATE MODEL ⋮ A hidden Markov regime-switching model for option valuation ⋮ Option pricing and Esscher transform under regime switching ⋮ A PDE approach for risk measures for derivatives with regime switching ⋮ REGIME SWITCHING TERM STRUCTURE MODEL UNDER PARTIAL INFORMATION ⋮ Adaptive signal processing of asset price dynamics with predictability analysis ⋮ Optimal portfolios with regime switching and value-at-risk constraint ⋮ A high-order Markov-switching model for risk measurement ⋮ Pricing Options Under a Generalized Markov-Modulated Jump-Diffusion Model ⋮ On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy ⋮ Martingale Representation and Admissible Portfolio Process with Regime Switching ⋮ Discrete-time implementation of continuous-time filters with application to regime-switching dynamics estimation ⋮ On Markov‐modulated Exponential‐affine Bond Price Formulae ⋮ Option pricing when the regime-switching risk is priced ⋮ PRICING CREDIT DERIVATIVES IN A MARKOV-MODULATED REDUCED-FORM MODEL ⋮ An automated financial indices-processing scheme for classifying market liquidity regimes ⋮ A DUPIRE EQUATION FOR A REGIME-SWITCHING MODEL ⋮ A time-varying Markov chain model of term structure.
Cites Work
- Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
- Martingales and arbitrage in multiperiod securities markets
- Exact adaptive filters for Markov chains observed in Gaussian noise
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- Mortgages and Markov Chains: A Simplified Evaluation Model
- Multi-factor term structure models
