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The book contains review articles on recent advances in first-passage phenomena and applications contributed by leading international experts. It is intended for graduate students and researchers who are interested in learning about this intriguin.
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Abstract:Numerous difficulties in finance are related to very first passage moments. Among all ofthem, we select three on which we added personally. Our 1st examplerelates Kolmogorov-Smirnov like goodness-of-fit assessments, customized in such a waythat end occasions and core occasions contribute similarly to the check (in thestandard Kolmogorov-Smirnov, the tails lead really little to the measure ofgoodness-of-fit). We show that this issue can end up being mapped onto that of a randomwalk inside moving wall space. The second example is the optimal time to sell anasset (modelled as a arbitrary stroll with flow) such that the sell time is asclose as achievable to the period at which the asset gets to its maximum value. Thelast illustration concerns optimum trading in the presence of purchase costs. Inthis case, the optimum strategy is to wait until the predictor gets to (plus orminus) a tolerance value before purchasing or marketing. The value of this thresholdis discovered by mapping the problem onto that of a arbitrary walk between two wall space.
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From: Remy Chicheportiche see e-mailv1Thu, 13 Jun 2013 14:03:55 UTC (418 KB)
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