Nonhomogeneous telegraph processes and their application to financial market modeling
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...
- Autores:
- Tipo de recurso:
- Fecha de publicación:
- 2007
- Institución:
- Universidad del Rosario
- Repositorio:
- Repositorio EdocUR - U. Rosario
- Idioma:
- eng
- OAI Identifier:
- oai:repository.urosario.edu.co:10336/23866
- Acceso en línea:
- https://doi.org/10.1134/S1064562407010322
https://repository.urosario.edu.co/handle/10336/23866
- Palabra clave:
- Finance
Investments
Marketing
Mathematical models
Parameter estimation
Problem solving
Financial mathematics
Market model
Nonhomogeneous telegraphs
Quantitative estimates
Graph theory
- Rights
- License
- Abierto (Texto Completo)
| Summary: | 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. |
|---|