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

Publisher:
Springer
Publication Type:
Journal Article
Citation:
Finance & Stochastics, 2013, 17 (3), pp. 615 - 640
Issue Date:
2013-01
Full metadata record
Files in This Item:
Filename Description Size
Thumbnail2011003668OK.pdf843.93 kB
Adobe PDF
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.
Please use this identifier to cite or link to this item: