Future pricing through homogeneous semi-Markov processes

DOI10.1002/ASMB.597MaRDI QIDQ5467288zbMATH OpenOpenAlexFDO

Authors Giuseppe Biase, Jacques Janssen, Raimondo Manca

Publication date 24 May 2006

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.597

zbMATH Keywords

Fib30predictionprice expectation on the future contracts

Mathematics Subject Classification ID

Applications of Markov renewal processes (reliability, queueing networks, etc.) (60K20) Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Model stability of foreign bank currency transactions
• Forward Prices in Markets Driven by Continuous-time Autoregressive Processes
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