LEADER 03649nam 2200541 450 001 996508572303316 005 20240130145302.0 010 $a3-662-65827-5 024 7 $a10.1007/978-3-662-65827-7 035 $a(MiAaPQ)EBC7169111 035 $a(Au-PeEL)EBL7169111 035 $a(OCoLC)1357016650 035 $a(DE-He213)978-3-662-65827-7 035 $a(PPN)26781108X 035 $a(EXLCZ)9925945670500041 100 $a20230505d2023 uy 0 101 0 $aeng 135 $aurcnu|||||||| 181 $ctxt$2rdacontent 182 $cc$2rdamedia 183 $acr$2rdacarrier 200 10$aTelegraph processes and option pricing /$fNikita Ratanov and Alexander D. Kolesnik 205 $a2nd ed. 2022. 210 1$aBerlin :$cSpringer,$d[2023] 210 4$d©2023 215 $a1 online resource (451 pages) 311 08$aPrint version: Ratanov, Nikita Telegraph Processes and Option Pricing Berlin, Heidelberg : Springer Berlin / Heidelberg,c2023 9783662658260 327 $aPreface -- 1.Preliminaries -- 2.Telegraph Process on the Line -- 3.Functionals of Telegraph Process -- 4.Asymmetric Jump-Telegraph Processes -- 5.Financial Modelling and Option Pricing -- Index. . 330 $aThis 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. 606 $aOptions (Finance) 606 $aStochastic analysis 606 $aAnàlisi estocàstica$2thub 606 $aOpcions (Finances)$2thub 608 $aLlibres electrònics$2thub 615 0$aOptions (Finance) 615 0$aStochastic analysis. 615 7$aAnàlisi estocàstica 615 7$aOpcions (Finances) 676 $a332.645 700 $aRatanov$b Nikita$01275263 702 $aKolesnik$b Alexander D. 801 0$bMiAaPQ 801 1$bMiAaPQ 801 2$bMiAaPQ 906 $aBOOK 912 $a996508572303316 996 $aTelegraph processes and option pricing$93364721 997 $aUNISA