株式会社極東書店トップ ＞ 商品一覧 ＞ Random Motions in Markov and Semi-Markov Random Environments 2: High-dimensional Random Motions and Financial Applications.
商品詳細
Random Motions in Markov and Semi-Markov Random Environments 2: High-dimensional Random Motions and Financial Applications.
・ISBN 978-1-78630-706-4 hard US$ 177.95
￥41,693.- (税込) ※（※）価格はご注文時の参考価格となります。
納品価格につきましては書籍の入荷時点で確定となります。
版元の原価改定、外国為替の変動等により異なる場合がございますので、予めご了承下さい。
電子版あり 大学・学術機関向け電子ブック（eBook）ISBN 978-1-119-80815-2
| 著者・編者 | Pogorui, Anatoliy / Swishchuk, Anatoliy et al., |
|---|---|
| 出版社 | (Wiley-ISTE, UK) |
| 出版年月 | 2021.05 |
| ページ数 | 224 pp. |
| 言語 | ENG |
| ニュース番号 | ＜661-L596 661-P976＞ |
解説
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.