Search the World's Largest Database of Information Science & Technology Terms & Definitions
InfInfoScipedia LogoScipedia
A Free Service of IGI Global Publishing House
Below please find a list of definitions for the term that
you selected from multiple scholarly research resources.

What is Markov Property

Chapter 11
Handbook of Research on Behavioral Finance and Investment Strategies: Decision Making in the Financial Industry
The term Markov property refers to the memoryless property of a stochastic process. It is named after the Russian mathematician Andrey Markov. A stochastic process has the Markov property if the conditional probability distribution of future states of the process (conditional on both past and present values) depends only upon the present state, not on the sequence of events that preceded it.
Published in Chapter:
Stochastic Processes for the Risk Management
Gamze Özel (Hacettepe University, Turkey)
Copyright: © 2015 |Pages: 13
DOI: 10.4018/978-1-4666-7484-4.ch011
Abstract
The financial markets use stochastic models to represent the seemingly random behavior of assets such as stocks, commodities, relative currency prices such as the price of one currency compared to that of another, such as the price of US Dollar compared to that of the Euro, and interest rates. These models are then used by quantitative analysts to value options on stock prices, bond prices, and on interest rates. This chapter gives an overview of the stochastic models and methods used in financial risk management. Given the random nature of future events on financial markets, the field of stochastic processes obviously plays an important role in quantitative risk management. Random walk, Brownian motion and geometric Brownian motion processes in risk management are explained. Simulations of these processes are provided with some software codes.
Full Text Chapter Download: US $37.50 Add to Cart
eContent Pro Discount Banner
InfoSci OnDemandECP Editorial ServicesAGOSR