1 option
Telegraph processes and option pricing Alexander D. Kolesnik, Nikita Ratanov
Springer Nature - Springer Mathematics and Statistics (R0) eBooks 2013 English International Available online
View online- Format:
- Book
- Author/Creator:
- Kolesnik, Alexander D.
- Series:
- SpringerBriefs in statistics 2191-544X
- SpringerBriefs in Statistics 2191-544X
- Language:
- English
- Subjects (All):
- Mathematical statistics.
- Statistics.
- statistics.
- Physical Description:
- 1 online resource
- Place of Publication:
- Heidelberg Springer 2013
- System Details:
- text file
- Summary:
- 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
- Contents:
- 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
- Notes:
- Includes bibliographical references and index
- Other Format:
- Printed edition:
- ISBN:
- 9783642405266
- 3642405266
- OCLC:
- 862577860
- Publisher Number:
- 10.1007/978-3-642-40526-6
- Access Restriction:
- Restricted for use by site license
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.