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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. 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 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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- ÉditeurSpringer
- Date d'édition2013
- ISBN 10 3540659439
- ISBN 13 9783540659433
- ReliurePaperback
- Nombre de pages216
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On Exponential Functionals of Brownian Motion and Related Processes by Yor, Marc [Paperback ]
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On Exponential Functionals of Brownian Motion and Related Processes
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Exponential Functionals of Brownian Motion and Related Processes
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Description du livre Etat : New. PRINT ON DEMAND Book; New; Fast Shipping from the UK. No. book. N° de réf. du vendeur ria9783540659433_lsuk
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On Exponential Functionals of Brownian Motion and Related Processes
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Springer Verlag
(2001)
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Description du livre Paperback. Etat : Brand New. 1st edition. 203 pages. 9.25x6.25x0.50 inches. In Stock. N° de réf. du vendeur x-3540659439
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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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Description du livre 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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Exponential Functionals of Brownian Motion and Related Processes
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Springer Berlin Heidelberg
(2001)
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
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Description du livre Kartoniert / Broschiert. Etat : New. N° de réf. du vendeur 4897441
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Exponential Functionals of Brownian Motion and Related Processes
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Springer 2001-08
(2001)
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PF
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Description du livre PF. Etat : New. N° de réf. du vendeur 6666-IUK-9783540659433
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Exponential Functionals of Brownian Motion and Related Processes
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Springer Berlin Heidelberg Aug 2001
(2001)
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
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Description du livre 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
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ON EXPONENTIAL FUNCTIONALS OF BR
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Springer
(2001)
ISBN 10 : 3540659439
ISBN 13 : 9783540659433
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Description du livre Etat : New. New. In shrink wrap. Looks like an interesting title! 0.73. N° de réf. du vendeur Q-3540659439
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