Articles liés à Exponential Functionals of Brownian Motion and Related...
Synopsis
This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1992 and 1994. These functionals play an important role in Mathematical Finance, as well as in (probabilistic) studies related to hyperbolic geometry, and also to random media. Throughout the volume, connections with more recent studies involving for example exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time.
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Exponential functionals of brownian motion and related processes.
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Berlin, Springer, 2001
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
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Softcover
Vendeur : Antiquariat Bookfarm, Löbnitz, Allemagne
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Softcover. Ehem. Bibliotheksexemplar mit Signatur und Stempel. GUTER Zustand, ein paar Gebrauchsspuren. Ex-library with stamp and library-signature. GOOD condition, some traces of use. C-01667 9783540659433 Sprache: Englisch Gewicht in Gramm: 550. N° de réf. du vendeur 2485543
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Exponential Functionals of Brownian Motion and Related Processes
Edité par
Springer Berlin Heidelberg, 2001
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
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Couverture souple
Vendeur : Buchpark, Trebbin, Allemagne
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Etat : Sehr gut. Zustand: Sehr gut | Seiten: 216 | Sprache: Englisch | Produktart: Bücher. N° de réf. du vendeur 930050/202
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Exponential Functionals of Brownian Motion and Related Processes (Springer Finance).
Edité par
Berlin, Heidelberg, New York: Springer, 2001
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
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Broschiert
Vendeur : Antiquariat Bernhardt, Kassel, Allemagne
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Broschiert. Etat : Sehr gut. Zust: Gutes Exemplar. VII, 203 S., Englisch 328g. N° de réf. du vendeur 489663
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Exponential Functionals of Brownian Motion and Related Processes
Edité par
Springer Berlin Heidelberg, 2001
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
Neuf
Kartoniert / Broschiert
Vendeur : moluna, Greven, Allemagne
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Kartoniert / Broschiert. Etat : New. N° de réf. du vendeur 4897441
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Exponential Functionals of Brownian Motion and Related Processes
Edité par
Springer Berlin Heidelberg, 2001
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - This monograph contains: - ten papers written by the author, and co-authors, between December 1988 and October 1998 about certain exponential functionals of Brownian motion and related processes, which have been, and still are, of interest, during at least the last decade, to researchers in Mathematical finance; - an introduction to the subject from the view point of Mathematical Finance by H. Geman. The origin of my interest in the study of exponentials of Brownian motion in relation with mathematical finance is the question, first asked to me by S. Jacka in Warwick in December 1988, and later by M. Chesney in Geneva, and H. Geman in Paris, to compute the price of Asian options, i. e. : to give, as much as possible, an explicit expression for: (1) where A~v) = I~ dsexp2(Bs + liS), with (Bs,s::::: 0) a real-valued Brownian motion. Since the exponential process of Brownian motion with drift, usually called: geometric Brownian motion, may be represented as: t ::::: 0, (2) where (Rt), u ::::: 0) denotes a 15-dimensional Bessel process, with 5 = 2(1I+1), it seemed clear that, starting from (2) [which is analogous to Feller's repre sentation of a linear diffusion X in terms of Brownian motion, via the scale function and the speed measure of X], it should be possible to compute quan tities related to (1), in particular: in hinging on former computations for Bessel processes. N° de réf. du vendeur 9783540659433
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On Exponential Functionals of Brownian Motion and Related Processes
Vendeur : Ria Christie Collections, Uxbridge, Royaume-Uni
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Etat : New. In. N° de réf. du vendeur ria9783540659433_new
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Exponential Functionals of Brownian Motion and Related Processes
Edité par
Springer Berlin Heidelberg, Springer Berlin Heidelberg Aug 2001, 2001
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -This monograph contains: - ten papers written by the author, and co-authors, between December 1988 and October 1998 about certain exponential functionals of Brownian motion and related processes, which have been, and still are, of interest, during at least the last decade, to researchers in Mathematical finance; - an introduction to the subject from the view point of Mathematical Finance by H. Geman. The origin of my interest in the study of exponentials of Brownian motion in relation with mathematical finance is the question, first asked to me by S. Jacka in Warwick in December 1988, and later by M. Chesney in Geneva, and H. Geman in Paris, to compute the price of Asian options, i. e. : to give, as much as possible, an explicit expression for: (1) where A~v) = I~ dsexp2(Bs + liS), with (Bs,s::::: 0) a real-valued Brownian motion. Since the exponential process of Brownian motion with drift, usually called: geometric Brownian motion, may be represented as: t ::::: 0, (2) where (Rt), u ::::: 0) denotes a 15-dimensional Bessel process, with 5 = 2(1I+1), it seemed clear that, starting from (2) [which is analogous to Feller's repre sentation of a linear diffusion X in terms of Brownian motion, via the scale function and the speed measure of X], it should be possible to compute quan tities related to (1), in particular: in hinging on former computations for Bessel processes.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 216 pp. Englisch. N° de réf. du vendeur 9783540659433
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Exponential Functionals of Brownian Motion and Related Processes (Springer Finance)
Edité par
Springer, 2013
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
Ancien ou d'occasion
Couverture souple
Vendeur : Roland Antiquariat UG haftungsbeschränkt, Weinheim, Allemagne
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216 p. Unread book. Very good condition. Like new. Miimum traces of storage. 9783540659433 Sprache: Englisch Gewicht in Gramm: 331 Softcover: 15.5 x 1.2 x 23.5 cm Softcover reprint of the original 1st ed. 2001. N° de réf. du vendeur 201503
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Exponential Functionals of Brownian Motion and Related Processes
Vendeur : Books Puddle, New York, NY, Etats-Unis
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Etat : New. pp. 218. N° de réf. du vendeur 26302040
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Exponential Functionals of Brownian Motion and Related Processes
Edité par
Springer Berlin Heidelberg Aug 2001, 2001
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
Neuf
Taschenbuch
Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
Évaluation du vendeur 5 sur 5 étoiles
Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This volume collects papers about the laws of geometric Brownian motions and their time-integrals, written by the author and coauthors between 1988 and 1998. Throughout the volume, connections with more recent studies involving exponential functionals of Lévy processes are indicated. Some papers originally published in French are made available in English for the first time. 216 pp. Englisch. N° de réf. du vendeur 9783540659433
Quantité disponible : 2 disponible(s)