Discrete-time asset pricing models in applied stochastic finance.

zbMATH Open1229.91005MaRDI QIDQ3583113FDOQ3583113

Authors: P.-C. G. Vassiliou 

Publication date: 26 August 2010

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zbMATH Keywords

martingalesMarkov chainsintroduction to probabilityintroduction to discrete-time finance

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01)

Cited In (9)

• Fuzzy semi-Markov migration process in credit risk
• Semi-Markov migration process in a stochastic market in credit risk
• A finite discrete-time model of financial markets.
• Laws of large numbers for non-homogeneous Markov systems with arbitrary transition probability matrices
• Weak ergodicity in G-NHMS
• A unified framework for robust modelling of financial markets in discrete time
• Exotic properties of non-homogeneous Markov and semi-Markov systems
• Asymptotic behaviour of the survival probabilities in an inhomogeneous semi-Markov model for the migration process in credit risk
• Financial markets in continuous time. Translated from the French by Anna Kennedy

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