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Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets - MaRDI portal

Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets

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DOI10.1111/j.1467-9965.1993.tb00038.xzbMath0884.90036OpenAlexW2053371807MaRDI QIDQ4372000

Douglas P. Kennedy

Publication date: 1993

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.1993.tb00038.x

zbMATH Keywords

financial markets compound Poisson process negative drift jump distribution exact ruin probabilities

Mathematics Subject Classification ID

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Cites Work

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