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MVE220 Financial Risk: Reading Project - Chalmers

MVE220 Financial Risk: Reading Project An introduction to markov chains and their applications within finance Group Members: David Sch n Myers Lisa Wallin Petter Wikstr m 1. Introduction markov chains are an important mathematical tool in stochastic processes . The underlying idea is the markov Property, in order words, that some predictions about stochastic processes can be simplified by viewing the future as independent of the past, given the present state of the process. This is used to simplify predictions about the future state of a stochastic process. This report will begin with a brief introduction, followed by the analysis, and end with tips for further Reading . The analysis will introduce the concepts of markov chains, explain different types of markov Chains and present examples of its applications in finance.

1 . I n t ro d u ct i o n Markov chains are an important mathematical tool in stochastic processes. The underlying idea is the Markov Property, in order words, that some predictions about stochastic processes

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