Hidden Markov Models in Finance Book

Exact solution of the term structure of interest rates under regime-switching risk.- Term structure of interest rates in a hidden Markov setting.- 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 Markov chain-discrete range observations.- Filtering of a partially observed inventory system.- Empirical investigation of the unbiased forward exchange rate expectation hypothesis in a regime-switching market.- Early warning systems for currency crises: a regime-switching approach.- Index.