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Date: 2012
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/172334
Description: In this paper, we introduce a Hidden Markov Model (HMM) for studying an optimal investment problem of an insurer when model uncertainty is present. More specifically, the financial price and insurance ... More
Reviewed: Reviewed
Date: 2010
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/114662
Description: We investigate two approaches, namely, the Esscher transform and the extended Girsanov’s principle, for option valuation in a discrete-time hidden Markov regime-switching Gaussian model. The model’s p ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/137051
Description: Tiling arrays are an important tool for the study of transcriptional activity, protein-DNA interactions and chromatin structure on a genome-wide scale at high resolution. Although hidden Markov models ... More
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Reviewed: Reviewed
Date: 2007
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/138711
Description: In this paper, we propose an Interactive hidden Markov model (IHMM). In a traditional HMM, the observable states are affected directly by the hidden states, but not vice versa. In the proposed IHMM, t ... More
Reviewed: Reviewed
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