Nonhomogeneous telegraph processes and their application to financial market modeling

A. V. Melnikov, N. E. Ratanov

Resultado de la investigación: Contribución a RevistaArtículo

1 Cita (Scopus)

Resumen

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.
Idioma originalEnglish (US)
Páginas (desde-hasta)115-117
Número de páginas3
PublicaciónDoklady Mathematics
DOI
EstadoPublished - feb 1 2007

Huella dactilar

Financial Markets
Financial Mathematics
Market Model
Hedging
Modeling
Switch
Estimate
Model
Market

Citar esto

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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.",
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Nonhomogeneous telegraph processes and their application to financial market modeling. / Melnikov, A. V.; Ratanov, N. E.

En: Doklady Mathematics, 01.02.2007, p. 115-117.

Resultado de la investigación: Contribución a RevistaArtículo

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