Exponential functionals of Brownian motion and related processes
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This book is a collection of ten papers on the law of certain functionals of geometric Brownian motion. These papers are supplemented by an introduction explaining the role of these functionals in Finance and in Insurance. The volume combines a great variety of different techniques, especially from Stochastic Analysis, and wonderfully illustrates their applicability. To a large extent the material has been reviewed before in Zentralblatt so that for the details it may suffice to refer to [J. Appl. Probab. 29, No. 1, 202-208 (1992; Zbl 0758.60085), Adv. Appl. Probab. 24, No. 3, 509-531 (1992; Zbl 0765.60084); C. R. Acad. Sci., Paris, Sér. I 314, No. 6, 471-474 (1992; Zbl 0759.60084), ibid. 314, No. 12, 951-956 (1992; Zbl 0751.60076), Math. Finance 3, No. 4, 349-375 (1993; Zbl 0884.90029), Insur. Math. Econ. 13, No. 1, 23-34 (1993; Zbl 0792.60074), Stochastics Stochastics Rep. 47, No. 1/2, 71-101 (1994; Zbl 0830.60072), Math. Finance 3, No. 2, 231-240 (1993; Zbl 0884.90056) and J. Appl. Probab. 35, No. 2, 255-271 (1998; Zbl 0929.60063)]. Some of these papers are made available in English for the first time. They are supplemented by an updated list of references and a short review of further progress made since publication of the presented results.
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Cited in
(only showing first 100 items - show all)- Continuity properties and infinite divisibility of stationary distributions of some generalized Ornstein-Uhlenbeck processes
- Law of the exponential functional of one-sided Lévy processes and Asian options
- Bounds for present value functions with stochastic interest rates and stochastic volatility.
- On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
- AIMD algorithms and exponential functionals
- Tail estimates for exponential functionals and applications to SDEs
- Stable windings at the origin
- Bernstein-gamma functions and exponential functionals of Lévy processes
- On an ordering-dependent generalization of the Tutte polynomial
- The pricing of Asian options in uncertain volatility model
- A matrix Bougerol identity and the Hua-Pickrell measures
- On the minimal travel time needed to collect \(n\) items on a circle.
- Hitting times of Bessel processes
- Bougerol's identity in law and extensions
- Fractional Wishart processes and \(\varepsilon\)-fractional Wishart processes with applications
- Extended Black and Scholes model under bankruptcy risk
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Some random paths with angle constraints
- On Doney's striking factorization of the arc-sine law
- A transformation for spectrally negative Lévy processes and applications
- Integral representations for the Hartman-Watson density
- Density estimates for the exponential functionals of fractional Brownian motion
- Global existence and finite time blow-up for a stochastic non-local reaction-diffusion equation
- Cut-off phenomenon for Ornstein-Uhlenbeck processes driven by Lévy processes
- On some identities in law involving exponential functionals of Brownian motion and Cauchy random variable
- Point-to-line last passage percolation and the invariant measure of a system of reflecting Brownian motions
- The Hunter-Saxton equation with noise
- Persistence and exit times for some additive functionals of skew Bessel processes
- Exact conditions for no ruin for the generalised Ornstein-Uhlenbeck process
- Sharp estimates for Geman-Yor processes and applications to arithmetic average Asian options
- Large time behavior of reaction-diffusion equations with Bessel generators
- Solvency need resulting from reserving risk in a ORSA context
- A Hoeffding's inequality for uniformly ergodic diffusion process
- Kolmogorov distance between the exponential functionals of fractional Brownian motion
- Coupling all the Lévy stochastic areas of multidimensional Brownian motion
- Exponential integrability of Itô's processes
- Integrability properties and limit theorems for the exit time from a cone of planar Brownian motion
- Some two-dimensional extensions of Bougerol's identity in law for the exponential functional of linear Brownian motion
- Bounds for in-progress floating-strike Asian options using symmetry
- A note on the CIR process and the existence of equivalent martingale measures
- Infinitely divisible Wald's couples. Examples linked with the Euler gamma and the Riemann zeta functions.
- Completeness of security markets and solvability of linear backward stochastic differential equations
- Tail asymptotics for exponential functionals of Lévy processes
- Discrete sums of geometric Brownian motions, annuities and Asian options
- An identity of hitting times and its application to the valuation of guaranteed minimum withdrawal benefit
- Lévy integrals and the stationarity of generalised Ornstein-Uhlenbeck processes
- Asymmetric skew Bessel processes and their applications to finance
- Equivalent and absolutely continuous measure changes for jump-diffusion processes
- Methods for evaluating density functions of exponential functionals represented as integrals of geometric Brownian motion
- Existence of a fundamental solution of partial differential equations associated to Asian options
- Extensions of Bougerol's identity in law and the associated anticipative path transformations
- Distribution of the time to explosion for one-dimensional diffusions
- Poisson kernels on nilpotent, 3-meta-abelian groups
- Limit theorems for discounted convergent perpetuities. II
- On two-dimensional extensions of Bougerol's identity in law
- Bessel processes, stochastic volatility, and timer options
- Large Deviations for Clocks of Self-similar Processes
- Explicit formulae in probability and in statistical physics
- On some Brownian functionals and their applications to moments in the lognormal stochastic volatility model
- Weak stationarity of Ornstein-Uhlenbeck processes with stochastic speed of mean reversion
- Exit times densities of the Bessel process
- A generalization of geometric Brownian motion with applications
- Extreme value statistics from the real space renormalization group: Brownian motion, Bessel processes and continuous time random walks
- Another look at the integral of exponential Brownian motion and the pricing of Asian options
- Limiting laws associated with Brownian motion perturbed by normalized exponential weights, I
- On ladder height densities and Laguerre series in the study of stochastic functionals. II. Exponential functionals of Brownian motion and Asian option values
- The square-root process and Asian options
- A note on some new perpetuities
- Differential equations and asymptotic solutions for arithmetic Asian options: ‘Black–Scholes formulae’ for Asian rate calls
- Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization
- Asymptotic behavior of distribution densities in models with stochastic volatility. I.
- On constructive complex analysis in finance: Explicit formulas for Asian options
- On regularity properties of Bessel flow
- scientific article; zbMATH DE number 3909449 (Why is no real title available?)
- Sur certaines fonctionnelles exponentielles du mouvement brownien réel
- On some exponential functionals of Brownian motion
- Obituary: Marc Yor (24 July 1949 -- 9 July 2014). A beautiful mind has disappeared
- Law of the absorption time of some positive self-similar Markov processes
- A scaling analysis of a cat and mouse Markov chain
- Impacts of Gaussian noises on the blow-up times of nonlinear stochastic partial differential equations
- An exponential functional of random walks
- Black's Model of Interest Rates as Options, Eigenfunction Expansions and Japanese Interest Rates
- A refined factorization of the exponential law
- Hedging processes for catastrophe options
- THE SPECTRAL DECOMPOSITION OF THE OPTION VALUE
- A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
- The log-normal approximation in financial and other computations
- A model of returns for the post-credit-crunch reality: hybrid Brownian motion with price feedback
- scientific article; zbMATH DE number 206027 (Why is no real title available?)
- Maximal distance travelled by \(N\) vicious walkers till their survival
- Geometric bounds on certain sublinear functionals of geometric Brownian motion
- On exponential functionals of Lévy processes
- Global and non-global solutions of a fractional reaction-diffusion equation perturbed by a fractional noise
- Analytic bond pricing for short rate dynamics evolving on matrix Lie groups
- Large deviations for the density and current in non-equilibrium-steady-states on disordered rings
- Stochastic life annuities
- Continuous-time perpetuities and time reversal of diffusions
- Large deviations at various levels for run-and-tumble processes with space-dependent velocities and space-dependent switching rates
- Asymptotic expansions for the first hitting times of Bessel processes
- Windings of planar processes, exponential functionals and Asian options
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