Bookcover of STOCK PRICE PROCESSES
Booktitle:

STOCK PRICE PROCESSES

On the correlation of maximum gain and maximum loss of stock price processes

VDM Verlag Dr. Müller (2009-04-24 )

Books loader

Omni badge eligible for voucher
ISBN-13:

978-3-639-13989-1

ISBN-10:
3639139895
EAN:
9783639139891
Book language:
English
Blurb/Shorttext:
Brownian motion is a central model in finance and other areas such as physics. In finance the price of one share of the risky asset, the stock, is modeled by exponential Brownian motion however by taking the log of stock prices, Brownian motion can be used as the basis of the calculations. Over a certain fixed length of time, a reasonably low risk, how much one can lose is as crucial to the success of any fund as a high profit. For this reason, investors are naturally interested in the maximum and the minimum, and also the maximum loss and maximum gain. Therefore it is a good idea to study their distributions and joint distributions. For the investors the results in this book explain the variability of the maximum and the minimum and of maximum gain and maximum loss of stock prices and in this book some useful observations and conjectures are collected on the risk and gain of stock prices.
Publishing house:
VDM Verlag Dr. Müller
Website:
http://www.vdm-verlag.de
By (author) :
Ceren Vardar
Number of pages:
168
Published on:
2009-04-24
Stock:
Available
Category:
Mathematics
Price:
68.00 €
Keywords:
Brownian Motion, Brownian Motion with drift, Strong Markov Property, Bessel Process, Doob''s h-transform, Path Decomposition

Books loader

Newsletter

Adyen::diners Adyen::jcb Adyen::discover Adyen::amex Adyen::mc Adyen::visa Adyen::cup Adyen::unionpay Adyen::paypal Paypal CryptoWallet Wire Transfer

  0 products in the shopping cart
Edit cart
Loading frontend
LOADING