Téléchargez le livre : Telegraph Processes and Option Pricing

Telegraph Processes and Option Pricing

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Éditeur :

Springer


Collection :

SpringerBriefs in Statistics

Paru le : 2013-10-18

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Description

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.
Pages
128 pages
Collection
SpringerBriefs in Statistics
Parution
2013-10-18
Marque
Springer
EAN papier
9783642405259
EAN EPUB
9783642405266
Informations sur l'ebook
Nombre pages copiables
1
Nombre pages imprimables
12
Taille du fichier
2693 Ko
Prix
52,74 €

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