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About this product
- PublisherSpringer-Verlag New York Inc.
- Date of Publication25/11/2010
- GenreFinance & Accounting
- Series TitleInternational Series in Operations Research & Management Science
- Series Part/Volume Number104
- Place of PublicationNew York, NY
- Country of PublicationUnited States
- ImprintSpringer-Verlag New York Inc.
- Content Noteblack & white illustrations
- Weight326 g
- Width156 mm
- Height234 mm
- Spine11 mm
- Edited byRobert J. Elliott,Rogemar S. Mamon
- Format DetailsTrade paperback (US)
- Edition Statement1st ed. Softcover of orig. ed. 2007
- Table Of ContentsAn 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.
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