EXPONENTIAL FUNCTIONALS OF BROWNIAN MOTION AND RELATED PROCESSES

YOR M.

wydawnictwo: SPRINGER , rok wydania 2001, wydanie I

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Exponential Functionals of Brownian Motion and Related Processes

Yor, M., Universite Paris VI, France

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.

Keywords: Geometric Brownian motion, Bessel processes, Bessel functions, Asian options, beta-gamma variables

207 pages

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