Pricing Options Under Telegraph Processes

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Telegraph Processes and Option Pricing

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Author : Nikita Ratanov
Publisher : Springer Nature
ISBN 13 : 3662658275
Total Pages : 451 pages
Book Rating : 4.6/5 (626 download)

Book Synopsis Telegraph Processes and Option Pricing by : Nikita Ratanov

Download or read book Telegraph Processes and Option Pricing written by Nikita Ratanov and published by Springer Nature. This book was released on 2023-01-04 with total page 451 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an extensive, systematic overview of the modern theory of telegraph processes and their multidimensional counterparts, together with numerous fruitful applications in financial modelling. Focusing on stochastic processes of bounded variation instead of classical diffusion, or more generally, Lévy processes, has two obvious benefits. First, the mathematical technique is much simpler, which helps to concentrate on the key problems of stochastic analysis and applications, including financial market modelling. Second, this approach overcomes some shortcomings of the (parabolic) nature of classical diffusions that contradict physical intuition, such as infinite propagation velocity and infinite total variation of paths. In this second edition, some sections of the previous text are included without any changes, while most others have been expanded and significantly revised. These are supplemented by predominantly new results concerning piecewise linear processes with arbitrary sequences of velocities, jump amplitudes, and switching intensities. The chapter on functionals of the telegraph process has been significantly expanded by adding sections on exponential functionals, telegraph meanders and running extrema, the times of the first passages of telegraph processes with alternating random jumps, and distribution of the Euclidean distance between two independent telegraph processes. A new chapter on the multidimensional counterparts of the telegraph processes is also included. The book is intended for graduate students in mathematics, probability, statistics and quantitative finance, and for researchers working at academic institutions, in industry and engineering. It can also be used by university lecturers and professionals in various applied areas.

Markov Random Flights

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Author : Alexander D. Kolesnik
Publisher : CRC Press
ISBN 13 : 1000338770
Total Pages : 407 pages
Book Rating : 4.0/5 (3 download)

Book Synopsis Markov Random Flights by : Alexander D. Kolesnik

Download or read book Markov Random Flights written by Alexander D. Kolesnik and published by CRC Press. This book was released on 2021-01-04 with total page 407 pages. Available in PDF, EPUB and Kindle. Book excerpt: Markov Random Flights is the first systematic presentation of the theory of Markov random flights in the Euclidean spaces of different dimensions. Markov random flights is a stochastic dynamic system subject to the control of an external Poisson process and represented by the stochastic motion of a particle that moves at constant finite speed and changes its direction at random Poisson time instants. The initial (and each new) direction is taken at random according to some probability distribution on the unit sphere. Such stochastic motion is the basic model for describing many real finite-velocity transport phenomena arising in statistical physics, chemistry, biology, environmental science and financial markets. Markov random flights acts as an effective tool for modelling the slow and super-slow diffusion processes arising in various fields of science and technology. Features: Provides the first systematic presentation of the theory of Markov random flights in the Euclidean spaces of different dimensions. Suitable for graduate students and specialists and professionals in applied areas. Introduces a new unified approach based on the powerful methods of mathematical analysis, such as integral transforms, generalized, hypergeometric and special functions. Author Alexander D. Kolesnik is a professor, Head of Laboratory (2015–2019) and principal researcher (since 2020) at the Institute of Mathematics and Computer Science, Kishinev (Chișinău), Moldova. He graduated from Moldova State University in 1980 and earned his PhD from the Institute of Mathematics of the National Academy of Sciences of Ukraine, Kiev in 1991. He also earned a PhD Habilitation in mathematics and physics with specialization in stochastic processes, probability and statistics conferred by the Specialized Council at the Institute of Mathematics of the National Academy of Sciences of Ukraine and confirmed by the Supreme Attestation Commission of Ukraine in 2010. His research interests include: probability and statistics, stochastic processes, random evolutions, stochastic dynamic systems, random flights, diffusion processes, transport processes, random walks, stochastic processes in random environments, partial differential equations in stochastic models, statistical physics and wave processes. Dr. Kolesnik has published more than 70 scientific publications, mostly in high-standard international journals and a monograph. He has also acted as external referee for many outstanding international journals in mathematics and physics, being awarded by the "Certificate of Outstanding Contribution in Reviewing" from the journal "Stochastic Processes and their Applications." He was the visiting professor and scholarship holder at universities in Italy and Germany and member of the Board of Global Advisors of the International Federation of Nonlinear Analysts (IFNA), United States of America.

Telegraph Processes and Option Pricing

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Author : Nikita Ratanov
Publisher : Springer
ISBN 13 : 9783662658260
Total Pages : 0 pages
Book Rating : 4.6/5 (582 download)

Book Synopsis Telegraph Processes and Option Pricing by : Nikita Ratanov

Download or read book Telegraph Processes and Option Pricing written by Nikita Ratanov and published by Springer. This book was released on 2023-01-05 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book provides an extensive, systematic overview of the modern theory of telegraph processes and their multidimensional counterparts, together with numerous fruitful applications in financial modelling. Focusing on stochastic processes of bounded variation instead of classical diffusion, or more generally, Lévy processes, has two obvious benefits. First, the mathematical technique is much simpler, which helps to concentrate on the key problems of stochastic analysis and applications, including financial market modelling. Second, this approach overcomes some shortcomings of the (parabolic) nature of classical diffusions that contradict physical intuition, such as infinite propagation velocity and infinite total variation of paths. In this second edition, some sections of the previous text are included without any changes, while most others have been expanded and significantly revised. These are supplemented by predominantly new results concerning piecewise linear processes with arbitrary sequences of velocities, jump amplitudes, and switching intensities. The chapter on functionals of the telegraph process has been significantly expanded by adding sections on exponential functionals, telegraph meanders and running extrema, the times of the first passages of telegraph processes with alternating random jumps, and distribution of the Euclidean distance between two independent telegraph processes. A new chapter on the multidimensional counterparts of the telegraph processes is also included. The book is intended for graduate students in mathematics, probability, statistics and quantitative finance, and for researchers working at academic institutions, in industry and engineering. It can also be used by university lecturers and professionals in various applied areas.

Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition

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Author :
Publisher : ScholarlyEditions
ISBN 13 : 1490110127
Total Pages : 1001 pages
Book Rating : 4.4/5 (91 download)

Book Synopsis Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition by :

Download or read book Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition written by and published by ScholarlyEditions. This book was released on 2013-05-01 with total page 1001 pages. Available in PDF, EPUB and Kindle. Book excerpt: Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition is a ScholarlyEditions™ book that delivers timely, authoritative, and comprehensive information about Approximation Theory. The editors have built Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition on the vast information databases of ScholarlyNews.™ You can expect the information about Approximation Theory in this book to be deeper than what you can access anywhere else, as well as consistently reliable, authoritative, informed, and relevant. The content of Issues in Logic, Probability, Combinatorics, and Chaos Theory: 2013 Edition has been produced by the world’s leading scientists, engineers, analysts, research institutions, and companies. All of the content is from peer-reviewed sources, and all of it is written, assembled, and edited by the editors at ScholarlyEditions™ and available exclusively from us. You now have a source you can cite with authority, confidence, and credibility. More information is available at http://www.ScholarlyEditions.com/.

Random Motions in Markov and Semi-Markov Random Environments 2

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Author : Anatoliy Pogorui
Publisher : John Wiley & Sons
ISBN 13 : 1119808170
Total Pages : 224 pages
Book Rating : 4.1/5 (198 download)

Book Synopsis Random Motions in Markov and Semi-Markov Random Environments 2 by : Anatoliy Pogorui

Download or read book Random Motions in Markov and Semi-Markov Random Environments 2 written by Anatoliy Pogorui and published by John Wiley & Sons. This book was released on 2021-01-11 with total page 224 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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.

Mathematical and Statistical Methods for Actuarial Sciences and Finance

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Author : Cira Perna
Publisher : Springer Science & Business Media
ISBN 13 : 8847023424
Total Pages : 402 pages
Book Rating : 4.8/5 (47 download)

Book Synopsis Mathematical and Statistical Methods for Actuarial Sciences and Finance by : Cira Perna

Download or read book Mathematical and Statistical Methods for Actuarial Sciences and Finance written by Cira Perna and published by Springer Science & Business Media. This book was released on 2012-03-08 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: The book develops the capabilities arising from the cooperation between mathematicians and statisticians working in insurance and finance fields. It gathers some of the papers presented at the conference MAF2010, held in Ravello (Amalfi coast), and successively, after a reviewing process, worked out to this aim.

Option Pricing and Estimation of Financial Models with R

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Author : Stefano M. Iacus
Publisher : John Wiley & Sons
ISBN 13 : 1119990203
Total Pages : 402 pages
Book Rating : 4.1/5 (199 download)

Book Synopsis Option Pricing and Estimation of Financial Models with R by : Stefano M. Iacus

Download or read book Option Pricing and Estimation of Financial Models with R written by Stefano M. Iacus and published by John Wiley & Sons. This book was released on 2011-02-23 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt: Presents inference and simulation of stochastic process in the field of model calibration for financial times series modelled by continuous time processes and numerical option pricing. Introduces the bases of probability theory and goes on to explain how to model financial times series with continuous models, how to calibrate them from discrete data and further covers option pricing with one or more underlying assets based on these models. Analysis and implementation of models goes beyond the standard Black and Scholes framework and includes Markov switching models, Lévy models and other models with jumps (e.g. the telegraph process); Topics other than option pricing include: volatility and covariation estimation, change point analysis, asymptotic expansion and classification of financial time series from a statistical viewpoint. The book features problems with solutions and examples. All the examples and R code are available as an additional R package, therefore all the examples can be reproduced.

Random Motions in Markov and Semi-Markov Random Environments 1

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Author : Anatoliy Pogorui
Publisher : John Wiley & Sons
ISBN 13 : 1119808200
Total Pages : 256 pages
Book Rating : 4.1/5 (198 download)

Book Synopsis Random Motions in Markov and Semi-Markov Random Environments 1 by : Anatoliy Pogorui

Download or read book Random Motions in Markov and Semi-Markov Random Environments 1 written by Anatoliy Pogorui and published by John Wiley & Sons. This book was released on 2020-12-31 with total page 256 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book is the first of two volumes on random motions in Markov and semi-Markov random environments. This first volume focuses on homogenous random motions. This volume consists of two parts, the first describing the basic concepts and methods that have been developed for random evolutions. These methods are the foundational tools used in both volumes, and this description includes many results in potential operators. Some techniques to find closed-form expressions in relevant applications are also presented. The second part deals with asymptotic results and presents a variety of applications, including random motion with different types of boundaries, the reliability of storage systems and solutions of partial differential equations with constant coefficients, using commutative algebra techniques. It also presents an alternative formulation to the Black-Scholes formula in finance, fading evolutions and telegraph processes, including jump telegraph processes and the estimation of the number of level crossings for telegraph processes.

Equity-Linked Life Insurance

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Author : Alexander Melnikov
Publisher : CRC Press
ISBN 13 : 1482240270
Total Pages : 213 pages
Book Rating : 4.4/5 (822 download)

Book Synopsis Equity-Linked Life Insurance by : Alexander Melnikov

Download or read book Equity-Linked Life Insurance written by Alexander Melnikov and published by CRC Press. This book was released on 2017-09-07 with total page 213 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book focuses on the application of the partial hedging approach from modern math finance to equity-linked life insurance contracts. It provides an accessible, up-to-date introduction to quantifying financial and insurance risks. The book also explains how to price innovative financial and insurance products from partial hedging perspectives. Each chapter presents the problem, the mathematical formulation, theoretical results, derivation details, numerical illustrations, and references to further reading.

Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities

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Author : Anatoliy Swishchuk
Publisher : World Scientific
ISBN 13 : 9814440140
Total Pages : 326 pages
Book Rating : 4.8/5 (144 download)

Book Synopsis Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities by : Anatoliy Swishchuk

Download or read book Modeling And Pricing Of Swaps For Financial And Energy Markets With Stochastic Volatilities written by Anatoliy Swishchuk and published by World Scientific. This book was released on 2013-06-03 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: Modeling and Pricing of Swaps for Financial and Energy Markets with Stochastic Volatilities is devoted to the modeling and pricing of various kinds of swaps, such as those for variance, volatility, covariance, correlation, for financial and energy markets with different stochastic volatilities, which include CIR process, regime-switching, delayed, mean-reverting, multi-factor, fractional, Levy-based, semi-Markov and COGARCH(1,1). One of the main methods used in this book is change of time method. The book outlines how the change of time method works for different kinds of models and problems arising in financial and energy markets and the associated problems in modeling and pricing of a variety of swaps. The book also contains a study of a new model, the delayed Heston model, which improves the volatility surface fitting as compared with the classical Heston model. The author calculates variance and volatility swaps for this model and provides hedging techniques. The book considers content on the pricing of variance and volatility swaps and option pricing formula for mean-reverting models in energy markets. Some topics such as forward and futures in energy markets priced by multi-factor Levy models and generalization of Black-76 formula with Markov-modulated volatility are part of the book as well, and it includes many numerical examples such as S&P60 Canada Index, S&P500 Index and AECO Natural Gas Index.

The International Handbook on Innovation

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Author : Larisa V Shavinina
Publisher : Elsevier
ISBN 13 : 008044198X
Total Pages : 1202 pages
Book Rating : 4.0/5 (84 download)

Book Synopsis The International Handbook on Innovation by : Larisa V Shavinina

Download or read book The International Handbook on Innovation written by Larisa V Shavinina and published by Elsevier. This book was released on 2003-10-16 with total page 1202 pages. Available in PDF, EPUB and Kindle. Book excerpt: The breadth of this work will allow the reader to acquire a comprehensive and panoramic picture of the nature of innovation within a single handbook.

"Process Work" Year Book

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Author :
Publisher :
ISBN 13 :
Total Pages : 318 pages
Book Rating : 4.:/5 (334 download)

Book Synopsis "Process Work" Year Book by :

Download or read book "Process Work" Year Book written by and published by . This book was released on 1898 with total page 318 pages. Available in PDF, EPUB and Kindle. Book excerpt:

The Central Law Journal

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Author :
Publisher :
ISBN 13 :
Total Pages : 348 pages
Book Rating : 4.E/5 ( download)

Book Synopsis The Central Law Journal by :

Download or read book The Central Law Journal written by and published by . This book was released on 1891 with total page 348 pages. Available in PDF, EPUB and Kindle. Book excerpt: Vols. 64-96 include "Central law journal's international law list".

An Introduction to Stochastic Modeling

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Author : Howard M. Taylor
Publisher : Academic Press
ISBN 13 : 1483269272
Total Pages : 410 pages
Book Rating : 4.4/5 (832 download)

Book Synopsis An Introduction to Stochastic Modeling by : Howard M. Taylor

Download or read book An Introduction to Stochastic Modeling written by Howard M. Taylor and published by Academic Press. This book was released on 2014-05-10 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: An Introduction to Stochastic Modeling provides information pertinent to the standard concepts and methods of stochastic modeling. This book presents the rich diversity of applications of stochastic processes in the sciences. Organized into nine chapters, this book begins with an overview of diverse types of stochastic models, which predicts a set of possible outcomes weighed by their likelihoods or probabilities. This text then provides exercises in the applications of simple stochastic analysis to appropriate problems. Other chapters consider the study of general functions of independent, identically distributed, nonnegative random variables representing the successive intervals between renewals. This book discusses as well the numerous examples of Markov branching processes that arise naturally in various scientific disciplines. The final chapter deals with queueing models, which aid the design process by predicting system performance. This book is a valuable resource for students of engineering and management science. Engineers will also find this book useful.

Telegraph Workers Journal

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Author :
Publisher :
ISBN 13 :
Total Pages : 746 pages
Book Rating : 4.E/5 ( download)

Book Synopsis Telegraph Workers Journal by :

Download or read book Telegraph Workers Journal written by and published by . This book was released on 1938 with total page 746 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Cases Argued and Decided in the Supreme Court of the United States

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Author : United States. Supreme Court
Publisher :
ISBN 13 :
Total Pages : 1308 pages
Book Rating : 4.F/5 ( download)

Book Synopsis Cases Argued and Decided in the Supreme Court of the United States by : United States. Supreme Court

Download or read book Cases Argued and Decided in the Supreme Court of the United States written by United States. Supreme Court and published by . This book was released on 1926 with total page 1308 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Journal of the Telegraph

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Author :
Publisher :
ISBN 13 :
Total Pages : 608 pages
Book Rating : 4.:/5 (321 download)

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Download or read book Journal of the Telegraph written by and published by . This book was released on 1869 with total page 608 pages. Available in PDF, EPUB and Kindle. Book excerpt: