Mamon R. Hidden Markov Models in Finance Vol 1. 2010 torrent

Textbook in PDF format

A number of methodologies have been employed to provide decision making solutions globalized markets. Hidden Markov Models in Finance offers the first systematic application of these methods to specialized financial problems: option pricing, credit risk modeling, volatility estimation and more. The book provides tools for sorting through turbulence, volatility, emotion, chaotic events – the random "noise" of financial markets – to analyze core components.
An Exact Solution of the Term Structure of Interest Rate Under Regime-Switching Risk.
The Term Structure of Interest Rates in a Hidden Markov Setting.
On Fair Valuation of Participating Life Insurance Policies With Regime Switching.
Pricing Options and Variance Swaps in Markov-Modulated Brownian Markets.
Smoothed Parameter Estimation for a Hidden Markov Model of Credit Quality.
Expected Shortfall Under a Model With Market and Credit Risks.
Filtering of Hidden Weak Markov Chain -Discrete Range Observations.
Filtering of a Partially Observed Inventory System.
An empirical investigation of the unbiased forward exchange rate hypothesis in a regime switching market.
Early Warning Systems for Currency Crises: A Regime-Switching Approach