Téléchargez le livre : Telegraph Processes and Option Pricing

Telegraph Processes and Option Pricing

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Éditeur :

Springer

Collection : SpringerBriefs in Statistics

Paru le : 2013-10-18

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 ...
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Description du livre


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.

À propos

Auteur
Alexander D. Kolesnik , Nikita Ratanov
Éditeur
Springer
Collection
SpringerBriefs in Statistics
Parution
2013-10-18
Pages
128 pages
EAN papier
9783642405259

Caractéristiques détaillées - droits

EAN EPUB
9783642405266
Prix
52,74 €
Nombre pages copiables
1
Nombre pages imprimables
12
Taille du fichier
2693 Ko
Ce livre est accessible aux handicaps informations d'accessibilité

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