Discrete-time asset pricing models in applied stochastic finance.

MaRDI QIDQ3583113zbMATH OpenFDO

Authors P.-C. G. Vassiliou

Publication date 26 August 2010

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)

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Cited in

(9)

• Weak ergodicity in G-NHMS
• Fuzzy semi-Markov migration process 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
• 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
• Semi-Markov migration process in a stochastic market in credit risk
• Financial markets in continuous time. Translated from the French by Anna Kennedy
• A unified framework for robust modelling of financial markets in discrete time

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