Pages that link to "Item:Q4819444"
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The following pages link to On the maximum drawdown of a Brownian motion (Q4819444):
Displayed 7 items.
- Drawdowns and rallies in a finite time-horizon. Drawdowns and rallies (Q973024) (← links)
- Renewal theorems and stability for the reflected process (Q1016615) (← links)
- Formulas for stopped diffusion processes with stopping times based on drawdowns and drawups (Q2270885) (← links)
- On the adjustment coefficient, drawdowns and Lundberg-type bounds for random walk (Q2389601) (← links)
- Drawdowns preceding rallies in the Brownian motion model (Q3437396) (← links)
- PROBABILITY DISTRIBUTION AND OPTION PRICING FOR DRAWDOWN IN A STOCHASTIC VOLATILITY ENVIRONMENT (Q3564997) (← links)
- Portfolio sensitivity to changes in the maximum and the maximum drawdown (Q3577150) (← links)