Advertisement

Telegraph Processes and Option Pricing

  • Alexander D. Kolesnik
  • Nikita Ratanov

Part of the SpringerBriefs in Statistics book series (BRIEFSSTATIST)

Table of contents

  1. Front Matter
    Pages i-xii
  2. Alexander D. Kolesnik, Nikita Ratanov
    Pages 1-18
  3. Alexander D. Kolesnik, Nikita Ratanov
    Pages 19-44
  4. Alexander D. Kolesnik, Nikita Ratanov
    Pages 45-68
  5. Alexander D. Kolesnik, Nikita Ratanov
    Pages 69-88
  6. Alexander D. Kolesnik, Nikita Ratanov
    Pages 89-125
  7. Back Matter
    Pages 127-128

About this book

Introduction

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.

Keywords

Financial modelling Option pricing Telegraph process

Authors and affiliations

  • Alexander D. Kolesnik
    • 1
  • Nikita Ratanov
    • 2
  1. 1.Inst.of Mathematics & Computer ScienceAcademy of Sciences of Moldova Numerical Analysis and ProbabilityKishinevMoldova
  2. 2.Universidad del Rosario Faculty of EconomicsBogotáColombia

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-40526-6
  • Copyright Information The Author(s) 2013
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-40525-9
  • Online ISBN 978-3-642-40526-6
  • Series Print ISSN 2191-544X
  • Series Online ISSN 2191-5458
  • Buy this book on publisher's site