Double telegraph processes and financial market models

Abstract. The traditional jump-telegraph processes are based on a Poisson process with alternating intensities. We develop a new model based on an alternating doubly stochastic Poisson process with random intensities of jumps. The market model based on the doubly stochastic jump-telegraph process is studied. A class of complete models is also considered. IL PROF. RATANOV E’ DISPONIBILE AD INCONTRARE I COLLEGHI CHE SONO INTERESSATI A FUTURI PROGETTI DI RICERCA INTERNAZIONALI CON L’AMERICA LATINA.