Nonhomogeneous telegraph processes and their application to financial market modeling

A. V. Melnikov, N. E. Ratanov

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

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 originalInglés estadounidense
Páginas (desde-hasta)115-117
Número de páginas3
PublicaciónDoklady Mathematics
Volumen75
N.º1
DOI
EstadoPublicada - feb 2007

All Science Journal Classification (ASJC) codes

  • Matemáticas (todo)

Huella

Profundice en los temas de investigación de 'Nonhomogeneous telegraph processes and their application to financial market modeling'. En conjunto forman una huella única.

Citar esto