Telegraph Processes and Option Pricing
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...
| Autor principal: | |
|---|---|
| Autor Corporativo: | |
| Otros Autores: | |
| Formato: | Libro electrónico |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
2013.
|
| Colección: | SpringerBriefs in Statistics.
Springer eBooks. |
| Acceso en línea: | Conectar con la versión electrónica |
| Ver en Universidad de Navarra: | https://innopac.unav.es/record=b32929213*spi |
| Sumario: | 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. |
|---|---|
| Descripción Física: | XII, 128 p., 5 il |
| Formato: | Forma de acceso: World Wide Web. |
| ISBN: | 9783642405266 |
