Titlebook: Hidden Markov Models in Finance; Further Developments Rogemar S. Mamon,Robert J. Elliott Book 2014 Springer Science+Business Media New York

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dissent

Leunglung Chan time, the organization is able to protect the user population from serious consequences of system failures and simultaneously provide digital services fulfilling the users’ changing needs. According to Chap.?., failures are inevitable in a complex ICT system. Unless a user population has a high lev

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Xiaojing Xi,Rogemar S. Mamonmplex adaptive systems and argues that traditional risk analyses cannot predict all future incidents with major impacts. To avoid unacceptable events, it is necessary to establish and operate?.anti-fragile.?ICT systems that limit the impact of all incidents, and which learn from small-impact inciden

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Luka Jalen,Rogemar S. Mamonloped in the two previous chapters. According to the fail fast principle, it is necessary to learn from failures in complex adaptive systems when the impact of the failures are still small. In the case of infectious malware epidemics, once malware is detected on a node in a networked system, other n

Offstage

Robustification of an On-line EM Algorithm for Modelling Asset Prices Within an HMM, HMM framework, parameters of the model are guided by a Markov chain in discrete time, parameters of the asset returns are therefore able to switch between different regimes. The parameters are estimated through an on-line algorithm, which utilizes incoming information from the market and leads to a

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An Econometric Model of the Term Structure of Interest Rates Under Regime-Switching Risk,e representation of Markov regime shifts that elucidates the effects of regime shifts on the yield curve and gives a clear interpretation of regime-switching risk premiums. The model falls within the broad class of essentially affine models with a closed form solution of the yield curve, yet it is f

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The LIBOR Market Model: A Markov-Switching Jump Diffusion Extension,) may be extended in a way that not only takes into account sudden market shocks without long-term effects, but also allows for structural breaks and changes in the overall economic climate. This is achieved by substituting the simple diffusion process of the original LIBOR Market model by a Markov-

Magnitude

Exchange Rates and Net Portfolio Flows: A Markov-Switching Approach,ed for Canada, the euro area, Japan and the UK exchange rates . the US dollar. Our results suggest that the relationship between net portfolio flows and exchange rate changes is nonlinear for all currencies considered but Canada.

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Hedging Costs for Variable Annuities Under Regime-Switching,, yielding two weakly coupled systems of partial differential equations (PDEs): the pricing and utility systems. The utility system is used to generate policyholder withdrawal behaviour, which is in turn fed into the pricing system as a means to determine the cost of hedging the contract. This appro