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Telegraph Processes and Option Pricing [electronic resource] /by Alexander D. Kolesnik, Nikita Ratanov.

by Kolesnik, Alexander D [author.]; Ratanov, Nikita [author.]; SpringerLink (Online service).
Material type: materialTypeLabelBookSeries: SpringerBriefs in Statistics: Publisher: Berlin, Heidelberg : Springer Berlin Heidelberg : 2013.Description: XII, 128 p. 5 illus. online resource.ISBN: 9783642405266.Subject(s): Statistics | Statistics | Statistics, generalDDC classification: 519.5 Online resources: Click here to access online
Contents:
Preface -- 1.Preliminaries -- 2.Telegraph Process on the Line -- 3.Functionals of Telegraph Process -- 4.Asymmetric Jump-Telegraph Processes -- 5.Financial Modelling and Option Pricing -- Index.  .
In: Springer eBooksSummary: 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.
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Preface -- 1.Preliminaries -- 2.Telegraph Process on the Line -- 3.Functionals of Telegraph Process -- 4.Asymmetric Jump-Telegraph Processes -- 5.Financial Modelling and Option Pricing -- Index.  .

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.

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