Exponential functionals of Brownian motion and related processes
type: Item
instance of: scholarly article
title: Exponential functionals of Brownian motion and related processes
zbMATH Open document ID: 0999.60004
DOI: 10.1007/978-3-642-56634-9
author: Marc Yor
published in: Springer Finance
publication date: 2001-08-20T00:00:00Z
review text: 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.
reviewed by: Peter Bank
Mathematics Subject Classification ID: 60-06
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 60J65
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60J25
zbMATH DE Number: 1634825
zbMATH Keywords: Brownian motion
zbMATH Keywords: Bessel processes
zbMATH Keywords: Asian options
zbMATH Keywords: identies in law
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1007/978-3-642-56634-9
OpenAlex ID: W1498354350
description: scientific article; zbMATH DE number 1634825