LIBROS DEL AUTOR: bernard roynette

5 resultados para LIBROS DEL AUTOR: bernard roynette

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  • Peacocks and Associated Martingales, with Explicit Constructions
    Bernard Roynette / Christophe Profeta / Francis Hirsch
    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 peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock.In this monograph, we exhibit nume...
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    136,70 €

  • Peacocks and Associated Martingales, with Explicit Constructions
    Bernard Roynette / Christophe Profeta / Francis Hirsch
    ...
    Disponible

    135,34 €

  • Option Prices as Probabilities
    Bernard Roynette / Christophe Profeta / Marc Yor
    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 with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometri...
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    66,28 €

  • Penalising Brownian Paths
    Bernard Roynette / Marc Yor
    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 of examples of such penalisations in the Brownian and Bessel processes framework. The Martingale theory plays a crucial role. A general principle for penal...
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    66,26 €

  • Marches Aleatoires Sur Les Groupes de Lie
    Bernard Roynette / Michael Keane / Yves Guivarc’h
    ...
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    55,18 €