Telegraph Processes and Option Pricing Alexander D. Kolesnik

ISBN:

Published: October 18th 2013

Kindle Edition

125 pages


Description

Telegraph Processes and Option Pricing  by  Alexander D. Kolesnik

Telegraph Processes and Option Pricing by Alexander D. Kolesnik
October 18th 2013 | Kindle Edition | PDF, EPUB, FB2, DjVu, AUDIO, mp3, ZIP | 125 pages | ISBN: | 3.12 Mb

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-Smoluchowskis 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.



Enter the sum





Related Archive Books



Related Books


Comments

Comments for "Telegraph Processes and Option Pricing":


blogs4shops.pl

©2008-2015 | DMCA | Contact us