BOOKS - Telegraph Processes and Option Pricing
US $6.51
466968
466968
Telegraph Processes and Option Pricing
Author: Alexander D. Kolesnik
Year: October 18, 2013
Format: PDF
File size: PDF 33 MB
Language: English
Year: October 18, 2013
Format: PDF
File size: PDF 33 MB
Language: English
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.