9783540659433 - Exponential Functionals of Brownian Motion and Related Processes di Yor, Marc (16 risultati)

Trade Paperback. Condizione: VG. used trade paperback edition. lightly shelfworn, corners perhaps slightly bumped. previous owner's name on front endsheet. pages and binding are clean, straight and tight. there are no marks to the text or other serious flaws.

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.

Condizione: New. In.

PF. Condizione: New.

Condizione: New. pp. 218.

Broschiert Broschiert. Condizione: Sehr gut. VII, 203 S., Zust: Gutes Exemplar. Schneller Versand und persönlicher Service - jedes Buch händisch geprüft und beschrieben - aus unserem Familienbetrieb seit über 25 Jahren. Eine Rechnung mit ausgewiesener Mehrwertsteuer liegt jeder unserer Lieferungen bei. Wir versenden mit der deutschen Post. Sprache: Englisch Gewicht in Gramm: 328.

Paperback. Condizione: Brand New. 1st edition. 203 pages. 9.25x6.25x0.50 inches. In Stock.

Kartoniert / Broschiert. Condizione: New.

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.

Taschenbuch. Condizione: 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.

paperback. Condizione: New. In shrink wrap. Looks like an interesting title!

Condizione: Sehr gut. Zustand: Sehr gut | Sprache: Englisch | Produktart: Bücher | 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.

Condizione: New. Print on Demand pp. 218 49:B&W 6.14 x 9.21 in or 234 x 156 mm (Royal 8vo) Perfect Bound on White w/Gloss Lam.

Condizione: New. PRINT ON DEMAND pp. 218.

Taschenbuch. Condizione: 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.

Taschenbuch. Condizione: 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 KG, Sachsenplatz 4-6, 1201 Wien 216 pp. Englisch.