Inhomogeneous Random Evolutions and Their Applications

Inhomogeneous Random Evolutions and Their Applications explains how to model various dynamical systems in finance and insurance with non-homogeneous in time characteristics. It includes modeling for:

• financial underlying and derivatives via Levy processes with time-dependent characteristics;
• limit order books in the algorithmic and HFT with counting price changes processes having time-dependent intensities;
• risk processes which count number of claims with time-dependent conditional in...