Hidden Markov Models in Finance Further Developments and Application
Since the groundbreaking research of Harry Markowitz into the application of operations research to the optimization of investment portfolios, finance has been one of the most important areas of application of operations research. The use of hidden Markov
- PDF / 4,803,303 Bytes
- 280 Pages / 439.42 x 683.15 pts Page_size
- 83 Downloads / 275 Views
Rogemar S. Mamon Robert J. Elliott Editors
Hidden Markov Models in Finance Further Developments and Applications, Volume II
International Series in Operations Research & Management Science Volume 209
Series Editor Camille C. Price Stephen F. Austin State University, TX, USA
For further volumes: http://www.springer.com/series/6161
Rogemar S. Mamon • Robert J. Elliott Editors
Hidden Markov Models in Finance Further Developments and Applications, Volume II
123
Editors Rogemar S. Mamon Department of Statistical & Actuarial Sciences University of Western Ontario London, ON, Canada
Robert J. Elliott School of Mathematics University of Adelaide Adelaide, Australia
ISSN 0884-8289 ISSN 2214-7934 (electronic) ISBN 978-1-4899-7441-9 ISBN 978-1-4899-7442-6 (eBook) DOI 10.1007/978-1-4899-7442-6 Springer New York Heidelberg Dordrecht London Library of Congress Control Number: 2007921976 © Springer Science+Business Media New York 2014 This work is subject to copyright. All rights are reserved by the Publisher, whether the whole or part of the material is concerned, specifically the rights of translation, reprinting, reuse of illustrations, recitation, broadcasting, reproduction on microfilms or in any other physical way, and transmission or information storage and retrieval, electronic adaptation, computer software, or by similar or dissimilar methodology now known or hereafter developed. Exempted from this legal reservation are brief excerpts in connection with reviews or scholarly analysis or material supplied specifically for the purpose of being entered and executed on a computer system, for exclusive use by the purchaser of the work. Duplication of this publication or parts thereof is permitted only under the provisions of the Copyright Law of the Publisher’s location, in its current version, and permission for use must always be obtained from Springer. Permissions for use may be obtained through RightsLink at the Copyright Clearance Center. Violations are liable to prosecution under the respective Copyright Law. The use of general descriptive names, registered names, trademarks, service marks, etc. in this publication does not imply, even in the absence of a specific statement, that such names are exempt from the relevant protective laws and regulations and therefore free for general use. While the advice and information in this book are believed to be true and accurate at the date of publication, neither the authors nor the editors nor the publisher can accept any legal responsibility for any errors or omissions that may be made. The publisher makes no warranty, express or implied, with respect to the material contained herein. Printed on acid-free paper Springer is part of Springer Science+Business Media (www.springer.com)
Preface
Since the publication of our coedited monograph Hidden Markov Models (HMM) in Finance by Springer in 2007, there has been substantial research in many areas of finance which employ HMM. It is the objective of this edited volume to present some updates on the current state of the
Data Loading...
