Ítem
Solo Metadatos
Nonhomogeneous telegraph processes and their application to financial market modeling
Título de la revista
Autores
Melnikov, A. V.
Ratanov, N. E.
Resumen
Abstract
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.
Palabras clave
Keywords
Finance , Investments , Marketing , Mathematical models , Parameter estimation , Problem solving , Financial mathematics , Market model , Nonhomogeneous telegraphs , Quantitative estimates , Graph theory
