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Hidden Markov Models in Finance

Editor

Listed:
  • Rogemar S. Mamon
    (University of Western Ontario)

  • Robert J. Elliott
    (University of Calgary)

Abstract

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Suggested Citation

  • Rogemar S. Mamon & Robert J. Elliott (ed.), 2007. "Hidden Markov Models in Finance," International Series in Operations Research and Management Science, Springer, number 978-0-387-71163-8, April.
    • Handle: RePEc:spr:isorms:978-0-387-71163-8
    DOI: 10.1007/0-387-71163-5
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    Cited by:

    1. Anatoliy Swishchuk & Maksym Tertychnyi & Robert Elliott, 2014. "Pricing Currency Derivatives with Markov-modulated Levy Dynamics," Papers 1402.1953, arXiv.org.
    2. Li, Yan & Cui, Lirong & Lin, Cong, 2017. "Modeling and analysis for multi-state systems with discrete-time Markov regime-switching," Reliability Engineering and System Safety, Elsevier, vol. 166(C), pages 41-49.

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