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Random Motions in Markov and Semi-Markov Random Environments 2
Random Motions in Markov and Semi-Markov Random Environments 2

Random Motions in Markov and Semi-Markov Random Environments 2

High-dimensional Random Motions and Financial Applications
Anatoliy Pogorui, Anatoliy Swishchuk, Ramon M. Rodriguez-Dagnino
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Random Motions in Markov and Semi-Markov Random Environments 2

High-dimensional Random Motions and Financial Applications
Anatoliy Pogorui, Anatoliy Swishchuk, Ramon M. Rodriguez-Dagnino
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About This Book

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.

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Information

Publisher
Wiley
Year
2021
ISBN
9781119808176
Topic
Mathematics
Subtopic
Probability & Statistics
Edition
1

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