Telegraph Processes and Option Pricing 

Author:
 Kolesnik, Alexander D. Ratanov, Nikita 
Series title:  SpringerBriefs in Statistics Ser. 
ISBN:  9783642405259 
Publication Date:  Oct 2013 
Publisher:  Springer

Book Format:  Paperback 
List Price:  USD $54.99 
Book Description:

The telegraph process is a useful mathematical model for describing the stochastic motion of a particle that moves with finite speed on the real line and alternates between two possible directions of motion at random time instants. That is why it can be considered as the finitevelocity counterpart of the classical EinsteinSmoluchowski's model of the Brownian motion in which the infinite speed of motion and the infinite intensity of the alternating directions are assumed.
...
More DescriptionThe telegraph process is a useful mathematical model for describing the stochastic motion of a particle that moves with finite speed on the real line and alternates between two possible directions of motion at random time instants. That is why it can be considered as the finitevelocity counterpart of the classical EinsteinSmoluchowski's model of the Brownian motion in which the infinite speed of motion and the infinite intensity of the alternating directions are assumed.
The book will be interesting to specialists in the area of diffusion processes with finite speed of propagation and in financial modelling. It will also be useful for students and postgraduates who are taking their first steps in these intriguing and attractive fields.