Random Motions in Markov and Semi-Markov Random Environments 2 High-dimensional Random Motions and Financial Applications
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Form:Einzelkauf Download
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Sprache:Englisch
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eBook Format:ePUB 3
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139,99 €
inkl. gesetzl. MwSt.Beschreibung
Produktdetails
Format
ePUB 3
Kopierschutz
Ja
Family Sharing
Nein
Text-to-Speech
Ja
Erscheinungsdatum
11.01.2021
Verlag
John Wiley & Sons IncSeitenzahl
(Printausgabe)
Dateigröße
15222 KB
Auflage
1. Auflage
Sprache
Englisch
EAN
9781119808176
This book is the second of two volumes on random motions in Markov
and semi-Markov random environments. This second volume focuses
on high-dimensional random motions.
This volume consists of two parts. The first expands many of the results
found in Volume 1 to higher dimensions. It presents new results on the
random motion of the realistic three-dimensional case, which has so far
been barely mentioned in the literature, and deals with the interaction of
particles in Markov and semi-Markov media, which has, in contrast,
been a topic of intense study.
The second part contains applications of Markov and semi-Markov
motions in mathematical finance. It includes applications of telegraph
processes in modeling stock price dynamics and investigates the pricing
of variance, volatility, covariance and correlation swaps with Markov
volatility and the same pricing swaps with semi-Markov volatilities.
and semi-Markov random environments. This second volume focuses
on high-dimensional random motions.
This volume consists of two parts. The first expands many of the results
found in Volume 1 to higher dimensions. It presents new results on the
random motion of the realistic three-dimensional case, which has so far
been barely mentioned in the literature, and deals with the interaction of
particles in Markov and semi-Markov media, which has, in contrast,
been a topic of intense study.
The second part contains applications of Markov and semi-Markov
motions in mathematical finance. It includes applications of telegraph
processes in modeling stock price dynamics and investigates the pricing
of variance, volatility, covariance and correlation swaps with Markov
volatility and the same pricing swaps with semi-Markov volatilities.
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