Random Motions in Markov and Semi-Markov Random Environments 2 - High-dimensional Random Motions and Financial Applications (Hardcover)

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.

General

Imprint:	Iste
Country of origin:	United Kingdom
Release date:	February 2021
First published:	2021
Authors:	A Pogorui
Dimensions:	238 x 168 x 19mm (L x W x T)
Format:	Hardcover
Pages:	224
ISBN-13:	978-1-78630-706-4
Categories:	Books > Science & Mathematics > Mathematics > General Promotions
LSN:	1-78630-706-5
Barcode:	9781786307064

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