Telegraph Processes and Option Pricing
Springer Berlin (Verlag)
978-3-642-40525-9 (ISBN)
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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.
Prof. Alexander Dmitry Kolesnik holds PhD in mathematics and physics (1991) and Habilitation in probability and statistics (2010) conferred by the Institute of Mathematics of the National Academy of Sciences of Ukraine, Kiev, Ukraine. At present, he occupies the permanent position of the Leading Scientific Researcher (Professor) at the Institute of Mathematics and Computer Science of the Academy of Sciences of Moldova, Kishinev, Moldova. He has published more than 50 scientific works in various editions and is the external referee for many respected international journals in mathematics, probability, stochastic processes and physics. Prof. Kolesnik is a member of the Global Advisors Board of the International Federation of Nonlinear Analysts (IFNA) and a member of the Expert Board on Mathematics of the National Council for Accreditation and Attestation of Moldova. Prof. Nikita Ratanov has degrees in mathematics from Moscow State University (Lomonossov): (Diploma, 1976; PhD, 1984), Russian Academy of Scencies, (Doctor of Sciences in Physics and Mathematics, 1999). His current position: professor, researcher at Universidad del Rosario, Bogota', Colombia. Prof. Ratanov's recent research interests have concentrated on stochastic processes and their applications. He has published several textbooks (in Russian and Spanish) on mathematical finance.
Preface.- 1.Preliminaries.- 2.Telegraph Process on the Line.- 3.Functionals of Telegraph Process.- 4.Asymmetric Jump-Telegraph Processes.- 5.Financial Modelling and Option Pricing.- Index.
lt;p>From the book reviews:
"The book is organized into 5 chapters. ... this book provides a detailed and rigorous description of the telegraph process on the real line, with a special view to its applications to financial modelling. Researchers and students in related areas will find it of considerable interest." (Antonio Di Crescenzo, Mathematical Reviews, October, 2014)| Erscheint lt. Verlag | 30.10.2013 |
|---|---|
| Reihe/Serie | SpringerBriefs in Statistics |
| Zusatzinfo | XII, 128 p. 5 illus. |
| Verlagsort | Berlin |
| Sprache | englisch |
| Maße | 155 x 235 mm |
| Gewicht | 225 g |
| Themenwelt | Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik |
| Schlagworte | Financial Modelling • Option pricing • Telegraph process |
| ISBN-10 | 3-642-40525-8 / 3642405258 |
| ISBN-13 | 978-3-642-40525-9 / 9783642405259 |
| Zustand | Neuware |
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