Nonhomogeneous telegraph processes and their application to financial market modeling

A. V. Melnikov, N. E. Ratanov

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

A nonhomogeneous telegraph process and its application to financial market modeling is discussed. An important role is played by the times of tendency switches, since these times frequently determine future gains and losses of market participants. The financial market model reflects the key point of view and provides it with quantitative estimates. This model is applicable to hedging and investment problems, which comprise the basic subject of modern financial mathematics.

Original languageEnglish (US)
Pages (from-to)115-117
Number of pages3
JournalDoklady Mathematics
Volume75
Issue number1
DOIs
StatePublished - Feb 2007

All Science Journal Classification (ASJC) codes

  • Mathematics(all)

Fingerprint Dive into the research topics of 'Nonhomogeneous telegraph processes and their application to financial market modeling'. Together they form a unique fingerprint.

Cite this