Nonhomogeneous telegraph processes and their application to financial market modeling Academic Article

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.

publication date

  • 2007/2/1

keywords

  • Estimate
  • Financial Markets
  • Financial Mathematics
  • Hedging
  • Market
  • Market Model
  • Model
  • Modeling
  • Switch

International Standard Serial Number (ISSN)

  • 1064-5624

number of pages

  • 3

start page

  • 115

end page

  • 117