Alexander D. Kolesnik,
Nikita Ratanov
Telegraph Processes and Option Pricing
Paperback Engels 2013 2014e druk 9783642405259Levertijd ongeveer 9 werkdagen
Gratis verzonden
Samenvatting
The telegraph process is a useful mathematical model for describing the stochastic motion of a particle that moves with finite speed on the real line and alternates between two possible directions of motion at random time instants. That is why it can be considered as the finite-velocity counterpart of the classical Einstein-Smoluchowski's model of the Brownian motion in which the infinite speed of motion and the infinite intensity of the alternating directions are assumed.
The book will be interesting to specialists in the area of diffusion processes with finite speed of propagation and in financial modelling. It will also be useful for students and postgraduates who are taking their first steps in these intriguing and attractive fields.
Specificaties
ISBN13:9783642405259
Taal:Engels
Bindwijze:paperback
Aantal pagina's:128
Uitgever:Springer Berlin Heidelberg
Druk:2014
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Inhoudsopgave
Preface.- 1.Preliminaries.- 2.Telegraph Process on the Line.- 3.Functionals of Telegraph Process.- 4.Asymmetric Jump-Telegraph Processes.- 5.Financial Modelling and Option Pricing.- Index.
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