@article{1452061,
      recid = {1452061},
      author = {Ratanov, Nikita, and Kolesnik, Alexander D.,},
      title = {Telegraph processes and option pricing /},
      pages = {1 online resource (xv, 440 pages) :},
      abstract = {This book provides an extensive, systematic overview of  the modern theory of telegraph processes and their  multidimensional counterparts, together with numerous  fruitful applications in financial modelling. Focusing on  stochastic processes of bounded variation instead of  classical diffusion, or more generally, Levy processes, has  two obvious benefits. First, the mathematical technique is  much simpler, which helps to concentrate on the key  problems of stochastic analysis and applications, including  financial market modelling. Second, this approach overcomes  some shortcomings of the (parabolic) nature of classical  diffusions that contradict physical intuition, such as  infinite propagation velocity and infinite total variation  of paths. In this second edition, some sections of the  previous text are included without any changes, while most  others have been expanded and significantly revised. These  are supplemented by predominantly new results concerning  piecewise linear processes with arbitrary sequences of  velocities, jump amplitudes, and switching intensities. The  chapter on functionals of the telegraph process has been  significantly expanded by adding sections on exponential  functionals, telegraph meanders and running extrema, the  times of the first passages of telegraph processes with  alternating random jumps, and distribution of the Euclidean  distance between two independent telegraph processes. A new  chapter on the multidimensional counterparts of the  telegraph processes is also included. The book is intended  for graduate students in mathematics, probability,  statistics and quantitative finance, and for researchers  working at academic institutions, in industry and  engineering. It can also be used by university lecturers  and professionals in various applied areas.},
      url = {http://library.usi.edu/record/1452061},
      doi = {https://doi.org/10.1007/978-3-662-65827-7},
}