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Author: Christophe Profeta

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2 Ebooks by Christophe Profeta

Cover of Christophe Profeta & Bernard Roynette: Option Prices as Probabilities
Christophe Profeta & Bernard Roynette: Option Prices as Probabilities
Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B , t? 0; F , t? 0, P) – t t note a standard Brownian motion …
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English
€53.49
Cover of Francis Hirsch & Christophe Profeta: Peacocks and Associated Martingales, with Explicit Constructions
Francis Hirsch & Christophe Profeta: Peacocks and Associated Martingales, with Explicit Constructions
We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a …
PDF
English
€96.29