Titlebook: Hidden Markov Models in Finance; Rogemar S. Mamon,Robert J. Elliott Book 2007 Springer-Verlag US 2007 Finance.Markov.Markov chain.Markov m

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On Fair Valuation of Participating Life Insurance Policies With Regime Switching,) when the market values of the reference asset are driven by a Markov-modulated geometric Brownian motion (GBM). We employ the Markov-modulated GBM driven by a continuous-time hidden Markov chain model to describe the impact of the switching behavior of the states of economy on the price dynamics o

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Expected Shortfall Under a Model With Market and Credit Risks,ch find that VaR is not a coherent risk measure and cannot incorporate the loss beyond VaR or tail risk. This chapter considers expected shortfall (ES) as an alternative risk measure. We consider a portfolio subject to both market and credit risks. We model the credit rating using a Markov chain. Th

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An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching mrkov chain in discrete time. A description of the foreign exchange market and of its stylised features is given. Finally, unbiased forward exchange rate hypothesis (UFER) is tested in the context of the US-dollar/UK-pound spot and forward exchange rates.

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Amorous

e of the past 80 years. No government in Russia could ignore Zionism, since it emerged a century ago as a major ideological and political force among a Jewish population that was then the largest in the world, and which remains today the world’s third largest Jewish community.