The Geometric Markov Renewal Processes with Application to Finance
Author:
Publisher
Informa UK Limited
Subject
Applied Mathematics,Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://www.tandfonline.com/doi/pdf/10.1080/07362994.2011.581103
Reference13 articles.
1. Contingent claims valuation when the security price is a combination of an Ito process and a random point process
2. Position dependent random maps in one and higher dimensions
3. Random dynamics and finance: constructing implied binomial trees from a predetermined stationary density
4. Option pricing: A simplified approach
5. Absolutely continuous invariant measures for random maps with position dependent probabilities
Cited by 11 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Drawdown-based risk indicators for high-frequency financial volumes;Financial Innovation;2024-02-22
2. A Linear Spline Maximum Entropy Method for Frobenius-Perron Operators of Multi-dimensional Transformations;International Journal of Applied and Computational Mathematics;2022-07-06
3. A micro‐to‐macro approach to returns, volumes and waiting times;Applied Stochastic Models in Business and Industry;2021-05-06
4. Piecewise Convex Deterministic Dynamical Systems and Weakly Convex Random Dynamical Systems and Their Invariant Measures;International Journal of Applied and Computational Mathematics;2021-03-31
5. References;Random Motions in Markov and Semi‐Markov Random Environments 1;2021-01-22
1.学者识别学者识别
2.学术分析学术分析
3.人才评估人才评估
"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370
www.globalauthorid.com
TOP
Copyright © 2019-2024 北京同舟云网络信息技术有限公司 京公网安备11010802033243号 京ICP备18003416号-3