Telegraph Processes and Option Pricing
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Beschreibung
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.
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.
For specialists in the area of diffusion processes with finite speed of propagation and in financial modelling
A useful introduction for students and postgraduates
Written by experts in the field
Includes supplementary material: sn.pub/extras
Autor*in
Alexander D. Kolesnik
Themen in »Telegraph Processes and Option Pricing«
Financial modelling Option pricing Telegraph process
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From the book reviews:
“The book is organized into 5 chapters. … this book provides a detailed and rigorous description of the telegraph process on the real line, with a special view to its applications to financial modelling. Researchers and students in related areas will find it of considerable interest.” (Antonio Di Crescenzo, Mathematical Reviews, October, 2014)()