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

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dc.contributor.author Nikeghbali, A
dc.contributor.author Platen, E
dc.date.accessioned 2014-04-03T02:09:46Z
dc.date.issued 2013-07
dc.identifier.citation Finance and Stochastics, 2013, 17 (3), pp. 615 - 640
dc.identifier.issn 0949-2984
dc.identifier.other C1 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.
dc.language eng
dc.relation.isbasedon 10.1007/s00780-013-0207-6
dc.title A reading guide for last passage times with financial applications in view
dc.type Journal Article
dc.description.version Published
dc.parent Finance and Stochastics
dc.journal.volume 3
dc.journal.volume 17
dc.journal.number 3 en_US
dc.publocation Germany en_US
dc.identifier.startpage 615 en_US
dc.identifier.endpage 640 en_US
dc.cauo.name SCI.Mathematical Sciences en_US
dc.conference Verified OK en_US
dc.for 0104 Statistics
dc.for 0102 Applied Mathematics
dc.personcode 970685
dc.percentage 50 en_US
dc.classification.name Applied Mathematics en_US
dc.classification.type FOR-08 en_US
dc.edition en_US
dc.custom en_US
dc.date.activity en_US
dc.location.activity en_US
dc.description.keywords Class Σ
dc.description.keywords Last passage times
dc.description.keywords Running maximum
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Science
pubs.organisational-group /University of Technology Sydney/Strength - Quantitative Finance
utslib.copyright.status Closed Access
utslib.copyright.date 2015-04-15 12:17:09.805752+10
pubs.consider-herdc true
utslib.collection.history School of Mathematical Sciences (ID: 340)
utslib.collection.history Closed (ID: 3)


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