Table of Contents
Journal of Applied Mathematics and Stochastic Analysis
Volume 2007, Article ID 72326, 19 pages
http://dx.doi.org/10.1155/2007/72326
Research Article

Jump Telegraph Processes and Financial Markets with Memory

Faculty of Economics, Universidad del Rosario, Calle 14, No.4-69, Bogotá, Colombia

Received 21 November 2006; Revised 22 April 2007; Accepted 9 August 2007

Copyright © 2007 Nikita Ratanov. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Citations to this Article [8 citations]

The following is the list of published articles that have cited the current article.

  • Alessandro De Gregorio, “Stochastic velocity motions and processes with random time,” Advances in Applied Probability, vol. 42, no. 4, pp. 1028–1056, 2010. View at Publisher · View at Google Scholar
  • A. D. Wissner-Gross, and C. E. Freer, “Relativistic statistical arbitrage,” Physical Review E, vol. 82, no. 5, 2010. View at Publisher · View at Google Scholar
  • Alessandro De Gregorio, and Stefano M. Iacus, “Least-squares change-point estimation for the telegraph process observed at discrete times,” Statistics, vol. 45, no. 4, pp. 349–359, 2011. View at Publisher · View at Google Scholar
  • Antonio Di Crescenzo, and Barbara Martinucci, “On the Generalized Telegraph Process with Deterministic Jumps,” Methodology and Computing in Applied Probability, vol. 15, no. 1, pp. 215–235, 2011. View at Publisher · View at Google Scholar
  • Oscar López, and Nikita Ratanov, “Kac’s rescaling for jump-telegraph processes,” Statistics & Probability Letters, vol. 82, no. 10, pp. 1768–1776, 2012. View at Publisher · View at Google Scholar
  • Antonio Di Crescenzo, Antonella Iuliano, Barbara Martinucci, and Shelemyahu Zacks, “Generalized telegraph process with random jumps,” Journal of Applied Probability, vol. 50, no. 2, pp. 450–463, 2013. View at Publisher · View at Google Scholar
  • Nikita Ratanov, “Telegraph Processes with Random Jumps and Complete Market Models,” Methodology and Computing in Applied Probability, 2013. View at Publisher · View at Google Scholar
  • J. Janela, J. Guerra, and G. Silva, “Option pricing under a jump-telegraph diffusion model with jumps of random size,” International Journal of Computer Mathematics, pp. 1–16, 2019. View at Publisher · View at Google Scholar