A reading guide for last passage times with financial applications in view

Nikeghbali, A; Platen, E

A reading guide for last passage times with financial applications in view

Nikeghbali, A Platen, E

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Publication Type:: Journal Article
Citation:: Finance and Stochastics, 2013, 17 (3), pp. 615 - 640
Issue Date:: 2013-07-01

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Field	Value	Language
dc.contributor.author	Nikeghbali, A	en_US
dc.contributor.author	Platen, E https://orcid.org/0000-0003-4595-3123	en_US
dc.date.issued	2013-07-01	en_US
dc.identifier.citation	Finance and Stochastics, 2013, 17 (3), pp. 615 - 640	en_US
dc.identifier.issn	0949-2984	en_US
dc.identifier.uri	http://hdl.handle.net/10453/23515
dc.description.abstract	In this survey on last passage times, we propose a new viewpoint which provides a unified approach to many different results which appear in the mathematical finance literature and in the theory of stochastic processes. In particular, we are able to improve the assumptions under which some well-known results are usually stated. Moreover we give some new and detailed calculations for the computation of the distribution of some large classes of last passage times. We have kept in this survey only the aspects of the theory which we expect potentially to be relevant for financial applications. © 2013 Springer-Verlag Berlin Heidelberg.	en_US
dc.relation.ispartof	Finance and Stochastics	en_US
dc.relation.isbasedon	10.1007/s00780-013-0207-6	en_US
dc.subject.classification	Finance	en_US
dc.title	A reading guide for last passage times with financial applications in view	en_US
dc.type	Journal Article
utslib.citation.volume	3	en_US
utslib.citation.volume	17	en_US
utslib.for	0104 Statistics	en_US
utslib.for	0102 Applied Mathematics	en_US
utslib.for	1502 Banking, Finance and Investment	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Science
pubs.organisational-group	/University of Technology Sydney/Faculty of Science/School of Mathematical and Physical Sciences
pubs.organisational-group	/University of Technology Sydney/Strength - QFRC - Quantitative Finance Research Centre
utslib.copyright.status	closed_access
pubs.issue	3	en_US
pubs.publication-status	Published	en_US
pubs.volume	17	en_US

Abstract:

In this survey on last passage times, we propose a new viewpoint which provides a unified approach to many different results which appear in the mathematical finance literature and in the theory of stochastic processes. In particular, we are able to improve the assumptions under which some well-known results are usually stated. Moreover we give some new and detailed calculations for the computation of the distribution of some large classes of last passage times. We have kept in this survey only the aspects of the theory which we expect potentially to be relevant for financial applications. © 2013 Springer-Verlag Berlin Heidelberg.

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http://hdl.handle.net/10453/23515