Stochastic wave models of prices of various financial instruments

S. S. Artem'ev, M. A. Yakunin

Institute of Computational Mathematics and Mathematical Geophysics (Computing Center), Siberian Branch of the Russian Academy of Sciences

Abstract: We consider various mathematical models of prices of stocks, currencies, and financial futures in the form of the stochastic differential equations, with allowance for the wave nature of the dynamics of prices on the stock, the exchange, and the futures markets. The way of calculation of estimates of parameters of one model and an example of calculation by the real price observations are presented.

UDC: 519.865.5

Received: 15.03.2001
Revised: 20.07.2001

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