Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators

DOI10.1239/jap/1110381376zbMath1078.60035OpenAlexW2002951683MaRDI QIDQ5312846

Matthias Winkel

Publication date: 25 August 2005

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1110381376

zbMATH Keywords

passage timeask curvebid curveforeign-exchange market modelPoisson point process technique

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70)

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Cites Work

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• On the Joint Distribution of the First Exit Time and Exit Value for Homogeneous Processes With Independent Increments
• Electronic Foreign-Exchange Markets and Passage Events of Independent Subordinators
• Hitting probabilities of single points for processes with stationary independent increments