Telegraph Processes and Option Pricing

Nonfiction, Science & Nature, Mathematics, Statistics
Cover of the book Telegraph Processes and Option Pricing by Alexander D. Kolesnik, Nikita Ratanov, Springer Berlin Heidelberg
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Author: Alexander D. Kolesnik, Nikita Ratanov ISBN: 9783642405266
Publisher: Springer Berlin Heidelberg Publication: October 18, 2013
Imprint: Springer Language: English
Author: Alexander D. Kolesnik, Nikita Ratanov
ISBN: 9783642405266
Publisher: Springer Berlin Heidelberg
Publication: October 18, 2013
Imprint: Springer
Language: English

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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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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