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Exact Ruin Probabilities and the Evaluation of Program Trading On Financial Markets
Author(s) -
Kennedy D. P.
Publication year - 1993
Publication title -
mathematical finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.98
H-Index - 81
eISSN - 1467-9965
pISSN - 0960-1627
DOI - 10.1111/j.1467-9965.1993.tb00038.x
Subject(s) - jump , financial market , poisson distribution , exponential distribution , distribution (mathematics) , compound poisson process , lévy process , economics , econometrics , mathematics , financial economics , poisson process , finance , statistics , physics , mathematical analysis , quantum mechanics
For a compound Poisson process with negative drift and jump distribution consisting of a mixture of exponentials on [0) and on (‐, 0), an exact expression is derived for the probability of hitting the level c, c > 0. the problem is motivated by modeling the returns from trading on financial markets.