[Forum SIS] Avviso di seminario :: Ratanov a DSS (Scienze Statistiche, Sapienza)

[Pierpaolo Brutti]

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 A v v i s o   d i   S e m i n a r i o
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Giovedì 2 Ottobre, ore 11am
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Stanza 34
Dipartimento di Scienze Statistiche
Sapienza Università di Roma

NIKITA RATANOV
(Universidad del Rosario, Bogotà, Colombia)

terrà un seminario dal titolo

DOUBLE TELEGRAPH PROCESSES AND FINANCIAL
MARKET MODELS

tutti gli interessati sono invitati a partecipare.

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Maggiori informazioni sui seminari presso il DSS sono
consultabili a quest'indirizzo: http://goo.gl/Y6OQYm

Saluti

Pierpaolo Brutti

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Summary

The traditional versions of jump-telegraph market models are based on
a Poisson process with deterministic alternating jump intensities. An
alternating doubly stochastic Poisson process with random intensities
of jumps is proposed as a new base. More precisely, I assume the
switching intensities of the Poisson process to follow a telegraph
process. The new telegraph process with underlying doubly stochastic
Poisson process is studied. This corresponds to model which is subject
to external influences changing the internal market situation.
Martingale measures for this type of processes are completely
described by using Girsanov’s transformation.