Author | Yor, Marc. author |
---|---|
Title | Exponential Functionals of Brownian Motion and Related Processes [electronic resource] / by Marc Yor |
Imprint | Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2001 |
Connect to | http://dx.doi.org/10.1007/978-3-642-56634-9 |
Descript | X, 206 p. online resource |
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), 202โ208 -- 2. On Some Exponential Functionals of Brownian Motion Adv. Appl. Prob. 24 (1992), 509โ531 -- 3. Some Relations between Bessel Processes, Asian Options and Confluent Hypergeometric Functions C.R. Acad. Sci., Paris, Sรฉr. I 314 (1992), 417โ474 (with Hรฉlyette Geman) -- 4. The Laws of Exponential Functionals of Brownian Motion, Taken at Various Random Times C.R. Acad. Sci., Paris, Sรฉr. I 314 (1992), 951โ956 -- 5. Bessel Processes, Asian Options, and Perpetuities Mathematical Finance, Vol. 3, No. 4 (October 1993), 349โ375 (with Hรฉlyette Geman) -- 6. Further Results on Exponential Functionals of Brownian Motion -- 7. From Planar Brownian Windings to Asian Options Insurance: Mathematics and Economics 13 (1993), 23โ34 -- 8. On Exponential Functionals of Certain Lรฉvy Processes Stochastics and Stochastic Rep. 47 (1994), 71โ101 (with P. Carmona and F. Petit) -- 9. On Some Exponential-integral Functionals of Bessel Processes Mathematical Finance, Vol. 3 No. 2 (April 1993), 231โ240 -- 10. Exponential Functionals of Brownian Motion and Disordered Systems J. App. Prob. 35 (1998), 255โ271 (with A. Comtet and C. Monthus)