4 Ebook di Bernard Roynette
Bernard Roynette & Marc Yor: Penalising Brownian Paths
Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process whose properties differ somewhat from those of the original one. We are presenting a number …
PDF
Inglese
DRM
€59.49
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 …
PDF
Inglese
€53.49
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
Inglese
€96.29
