Narrow your search

Library

National Bank of Belgium (9)

KU Leuven (8)

ULB (7)

ULiège (6)

UCLouvain (5)

UAntwerpen (4)

VUB (3)

UGent (2)

UHasselt (2)

EhB (1)

More...

Resource type

book (9)

dissertation (1)


Language

English (6)

French (3)


Year
From To Submit

2007 (1)

2004 (1)

1997 (1)

1994 (1)

1993 (1)

More...
Listing 1 - 9 of 9
Sort by
Markov chains
Author:
ISBN: 0521481813 0521633966 9780521633963 9780521481816 9780511810633 1107299209 1107385083 0511810636 Year: 1997 Volume: [2?] Publisher: Cambridge: Cambridge university press,

Loading...
Export citation

Choose an application

Bookmark

Abstract

Markov chains are central to the understanding of random processes. This is not only because they pervade the applications of random processes, but also because one can calculate explicitly many quantities of interest. This textbook, aimed at advanced undergraduate or MSc students with some background in basic probability theory, focuses on Markov chains and quickly develops a coherent and rigorous theory whilst showing also how actually to apply it. Both discrete-time and continuous-time chains are studied. A distinguishing feature is an introduction to more advanced topics such as martingales and potentials in the established context of Markov chains. There are applications to simulation, economics, optimal control, genetics, queues and many other topics, and exercises and examples drawn both from theory and practice. It will therefore be an ideal text either for elementary courses on random processes or those that are more oriented towards applications.

Markov decision processes : discrete stochastic dynamic programming
Author:
ISBN: 0471619779 Year: 1994 Publisher: New York : John Wiley & Sons,

Hidden Markov models in finance
Authors: ---
ISBN: 9780387711638 9780387710815 0387710817 0387711635 1441943803 9786610852048 1280852046 Year: 2007 Volume: 104 Publisher: New York : Springer,

Loading...
Export citation

Choose an application

Bookmark

Abstract

A number of methodologies have been employed to provide decision making solutions to a whole assortment of financial problems in today's globalized markets. Hidden Markov Models in Finance by Mamon and Elliott will be the first systematic application of these methods to some special kinds of financial problems; namely, pricing options and variance swaps, valuation of life insurance policies, interest rate theory, credit risk modeling, risk management, analysis of future demand and inventory level, testing foreign exchange rate hypothesis, and early warning systems for currency crises. This book provides researchers and practitioners with analyses that allow them to sort through the random "noise" of financial markets (i.e., turbulence, volatility, emotion, chaotic events, etc.) and analyze the fundamental components of economic markets. Hence, Hidden Markov Models in Finance provides decision makers with a clear, accurate picture of core financial components by filtering out the random noise in financial markets. .

Keywords

operationeel onderzoek --- speltheorie --- management --- Operational research. Game theory --- kansrekening --- Business management --- Planning (firm) --- handelswetenschappen --- mathematische modellen --- bedrijfskunde --- financiën --- Finance --- stochastische analyse --- Markov processes --- Finances --- Markov, Processus de --- Mathematical models --- Modèles mathématiques --- EPUB-LIV-FT LIVECONO LIVGESTI SPRINGER-B --- Operations research. --- Finance. --- Distribution (Probability theory. --- Business. --- Operations Research/Decision Theory. --- Finance, general. --- Mathematical Modeling and Industrial Mathematics. --- Probability Theory and Stochastic Processes. --- Business and Management, general. --- Operations Research, Management Science. --- Distribution functions --- Frequency distribution --- Characteristic functions --- Probabilities --- Funding --- Funds --- Economics --- Currency question --- Operational analysis --- Operational research --- Industrial engineering --- Management science --- Research --- System theory --- Trade --- Management --- Commerce --- Industrial management --- 305.91 --- AA / International- internationaal --- Analysis, Markov --- Chains, Markov --- Markoff processes --- Markov analysis --- Markov chains --- Markov models --- Models, Markov --- Processes, Markov --- Stochastic processes --- Econometrie van de financiële activa. Portfolio allocation en management. CAPM. Bubbles --- Decision making. --- Mathematical models. --- Probabilities. --- Management science. --- Quantitative business analysis --- Problem solving --- Operations research --- Statistical decision --- Probability --- Statistical inference --- Combinations --- Mathematics --- Chance --- Least squares --- Mathematical statistics --- Risk --- Models, Mathematical --- Simulation methods --- Deciding --- Decision (Psychology) --- Decision analysis --- Decision processes --- Making decisions --- Management decisions --- Choice (Psychology) --- Decision making --- Markov processes.

Listing 1 - 9 of 9
Sort by