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Found 132 Documents (Results 1–100)

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Parameter estimation in a weak hidden Markov model with independent drift and volatility. (English) Zbl 1407.62394

Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. Further developments and applications. Volume II. New York, NY: Springer. Int. Ser. Oper. Res. Manag. Sci. 209, 227-240 (2014).
MSC:  62P05 62M10 62M05
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Hedging costs for variable annuities under regime-switching. (English) Zbl 1418.91228

Mamon, Rogemar S. (ed.) et al., Hidden Markov models in finance. Further developments and applications. Volume II. New York, NY: Springer. Int. Ser. Oper. Res. Manag. Sci. 209, 133-166 (2014).
MSC:  91B30 35Q91
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