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Exponential functionals of Brownian motion and related processes

Exponential functionals of Brownian motion and related processes (Loan 2 times)

Material type
단행본
Personal Author
Yor, Marc.
Title Statement
Exponential functionals of Brownian motion and related processes / Marc Yor.
Publication, Distribution, etc
Berlin ;   New York :   Springer,   c2001.  
Physical Medium
vii, 203 p. ; 24 cm.
Series Statement
Springer finance
ISBN
3540659439 (pbk. : alk. paper)
Bibliography, Etc. Note
Includes bibliographical references and index.
Subject Added Entry-Topical Term
Business mathematics. Finance -- Mathematical models. Brownian motion processes.
000 00969camuu2200301 a 4500
001 000045747716
005 20130416113157
008 130415s2001 gw b 001 0 eng
010 ▼a 2001020860
020 ▼a 3540659439 (pbk. : alk. paper)
035 ▼a (KERIS)REF000014897554
040 ▼a DLC ▼c DLC ▼d DLC ▼d 211009
050 0 0 ▼a HF5691 ▼b .Y67 2001
082 0 0 ▼a 519.2/33 ▼2 23
084 ▼a 519.233 ▼2 DDCK
090 ▼a 519.233 ▼b Y61e
100 1 ▼a Yor, Marc.
245 1 0 ▼a Exponential functionals of Brownian motion and related processes / ▼c Marc Yor.
260 ▼a Berlin ; ▼a New York : ▼b Springer, ▼c c2001.
300 ▼a vii, 203 p. ; ▼c 24 cm.
490 1 ▼a Springer finance
504 ▼a Includes bibliographical references and index.
650 0 ▼a Business mathematics.
650 0 ▼a Finance ▼x Mathematical models.
650 0 ▼a Brownian motion processes.
830 0 ▼a Springer finance.
945 ▼a KLPA

Holdings Information

No. Location Call Number Accession No. Availability Due Date Make a Reservation Service
No. 1 Location Main Library/Western Books/ Call Number 519.233 Y61e Accession No. 111692569 Availability Available Due Date Make a Reservation Service B M

Contents information

Table of Contents

0. Functionals of Brownian Motion in Finance and in Insurance.- 1. On Certain Exponential Functionals of Real-Valued Brownian Motion J Appl. Prob. 29 (1992), 202-208.- 2. On Some Exponential Functionals of Brownian Motion Adv. Appl. Prob. 24 (1992), 509-531.- 3. Some Relations between Bessel Processes, Asian Options and Confluent Hypergeometric Functions C.R. Acad. Sci., Paris, Ser. I 314 (1992), 417-474 (with Helyette Geman).- 4. The Laws of Exponential Functionals of Brownian Motion, Taken at Various Random Times C.R. Acad. Sci., Paris, Ser. I 314 (1992), 951-956.- 5. Bessel Processes, Asian Options, and Perpetuities Mathematical Finance, Vol. 3, No. 4 (October 1993), 349-375 (with Helyette Geman).- 6. Further Results on Exponential Functionals of Brownian Motion.- 7. From Planar Brownian Windings to Asian Options Insurance: Mathematics and Economics 13 (1993), 23-34.- 8. On Exponential Functionals of Certain Levy Processes Stochastics and Stochastic Rep. 47 (1994), 71-101 (with P. Carmona and F. Petit).- 9. On Some Exponential-integral Functionals of Bessel Processes Mathematical Finance, Vol. 3 No. 2 (April 1993), 231-240.- 10. Exponential Functionals of Brownian Motion and Disordered Systems J. App. Prob. 35 (1998), 255-271 (with A. Comtet and C. Monthus).


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