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...

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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
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Abierto (Texto Completo)
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network_name_str Repositorio EdocUR - U. Rosario
repository_id_str
spelling 1bf00178-2506-4024-ab54-18fc4fc03852-19900af24-844b-4712-b9ef-3ed71c35a63c-12020-05-26T00:06:12Z2020-05-26T00:06:12Z2007A 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.application/pdfhttps://doi.org/10.1134/S106456240701032210645624https://repository.urosario.edu.co/handle/10336/23866eng117No. 1115Doklady MathematicsVol. 75Doklady Mathematics, ISSN:10645624, Vol.75, No.1 (2007); pp. 115-117https://www.scopus.com/inward/record.uri?eid=2-s2.0-33947385467&doi=10.1134%2fS1064562407010322&partnerID=40&md5=98d91d152c4888c936a08b4ffe380a2bAbierto (Texto Completo)http://purl.org/coar/access_right/c_abf2instname:Universidad del Rosarioreponame:Repositorio Institucional EdocURFinanceInvestmentsMarketingMathematical modelsParameter estimationProblem solvingFinancial mathematicsMarket modelNonhomogeneous telegraphsQuantitative estimatesGraph theoryNonhomogeneous telegraph processes and their application to financial market modelingarticleArtículohttp://purl.org/coar/version/c_970fb48d4fbd8a85http://purl.org/coar/resource_type/c_6501Melnikov, A. V.Ratanov, N. E.10336/23866oai:repository.urosario.edu.co:10336/238662022-05-02 07:37:21.244453https://repository.urosario.edu.coRepositorio institucional EdocURedocur@urosario.edu.co
dc.title.spa.fl_str_mv Nonhomogeneous telegraph processes and their application to financial market modeling
title Nonhomogeneous telegraph processes and their application to financial market modeling
spellingShingle Nonhomogeneous telegraph processes and their application to financial market modeling
Finance
Investments
Marketing
Mathematical models
Parameter estimation
Problem solving
Financial mathematics
Market model
Nonhomogeneous telegraphs
Quantitative estimates
Graph theory
title_short Nonhomogeneous telegraph processes and their application to financial market modeling
title_full Nonhomogeneous telegraph processes and their application to financial market modeling
title_fullStr Nonhomogeneous telegraph processes and their application to financial market modeling
title_full_unstemmed Nonhomogeneous telegraph processes and their application to financial market modeling
title_sort Nonhomogeneous telegraph processes and their application to financial market modeling
dc.subject.keyword.spa.fl_str_mv Finance
Investments
Marketing
Mathematical models
Parameter estimation
Problem solving
Financial mathematics
Market model
Nonhomogeneous telegraphs
Quantitative estimates
Graph theory
topic Finance
Investments
Marketing
Mathematical models
Parameter estimation
Problem solving
Financial mathematics
Market model
Nonhomogeneous telegraphs
Quantitative estimates
Graph theory
description 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.
publishDate 2007
dc.date.created.spa.fl_str_mv 2007
dc.date.accessioned.none.fl_str_mv 2020-05-26T00:06:12Z
dc.date.available.none.fl_str_mv 2020-05-26T00:06:12Z
dc.type.eng.fl_str_mv article
dc.type.coarversion.fl_str_mv http://purl.org/coar/version/c_970fb48d4fbd8a85
dc.type.coar.fl_str_mv http://purl.org/coar/resource_type/c_6501
dc.type.spa.spa.fl_str_mv Artículo
dc.identifier.doi.none.fl_str_mv https://doi.org/10.1134/S1064562407010322
dc.identifier.issn.none.fl_str_mv 10645624
dc.identifier.uri.none.fl_str_mv https://repository.urosario.edu.co/handle/10336/23866
url https://doi.org/10.1134/S1064562407010322
https://repository.urosario.edu.co/handle/10336/23866
identifier_str_mv 10645624
dc.language.iso.spa.fl_str_mv eng
language eng
dc.relation.citationEndPage.none.fl_str_mv 117
dc.relation.citationIssue.none.fl_str_mv No. 1
dc.relation.citationStartPage.none.fl_str_mv 115
dc.relation.citationTitle.none.fl_str_mv Doklady Mathematics
dc.relation.citationVolume.none.fl_str_mv Vol. 75
dc.relation.ispartof.spa.fl_str_mv Doklady Mathematics, ISSN:10645624, Vol.75, No.1 (2007); pp. 115-117
dc.relation.uri.spa.fl_str_mv https://www.scopus.com/inward/record.uri?eid=2-s2.0-33947385467&doi=10.1134%2fS1064562407010322&partnerID=40&md5=98d91d152c4888c936a08b4ffe380a2b
dc.rights.coar.fl_str_mv http://purl.org/coar/access_right/c_abf2
dc.rights.acceso.spa.fl_str_mv Abierto (Texto Completo)
rights_invalid_str_mv Abierto (Texto Completo)
http://purl.org/coar/access_right/c_abf2
dc.format.mimetype.none.fl_str_mv application/pdf
institution Universidad del Rosario
dc.source.instname.spa.fl_str_mv instname:Universidad del Rosario
dc.source.reponame.spa.fl_str_mv reponame:Repositorio Institucional EdocUR
repository.name.fl_str_mv Repositorio institucional EdocUR
repository.mail.fl_str_mv edocur@urosario.edu.co
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