----------------------------------------------------------------------------- A v v i s o d i S e m i n a r i o ----------------------------------------------------------------------------- Giovedì 2 Ottobre, ore 11am ----------------------------------------------------------------------------- Stanza 34 Dipartimento di Scienze Statistiche Sapienza Università di Roma NIKITA RATANOV (Universidad del Rosario, Bogotà, Colombia) terrà un seminario dal titolo DOUBLE TELEGRAPH PROCESSES AND FINANCIAL MARKET MODELS tutti gli interessati sono invitati a partecipare. ----------------------------------------------------------------------------- Maggiori informazioni sui seminari presso il DSS sono consultabili a quest'indirizzo: http://goo.gl/Y6OQYm Saluti Pierpaolo Brutti --- Summary The traditional versions of jump-telegraph market models are based on a Poisson process with deterministic alternating jump intensities. An alternating doubly stochastic Poisson process with random intensities of jumps is proposed as a new base. More precisely, I assume the switching intensities of the Poisson process to follow a telegraph process. The new telegraph process with underlying doubly stochastic Poisson process is studied. This corresponds to model which is subject to external influences changing the internal market situation. Martingale measures for this type of processes are completely described by using Girsanov’s transformation.