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Zbl 0999.60004
Yor, Marc
Exponential functionals of Brownian motion and related processes. (English)
[B] Springer Finance. Berlin: Springer. ix, 205 p. DM 96.19; sFr 85.07; \sterling 33.00; \$ 49.95 (2001). ISBN 3-540-65943-9

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.
[Peter Bank (Berlin)]

MSC 2000:: *60-06 Proceedings of conferences (probability theory)
60H30 Appl. of stochastic analysis
60J65 Brownian motion
91B28 Finance etc.
60J25 Markov processes with continuous parameter

Keywords: Brownian motion; Bessel processes; Asian options; identies in law

Citations: Zbl 0758.60085; Zbl 0765.60084; Zbl 0759.60084; Zbl 0751.60076; Zbl 0884.90029; Zbl 0792.60074; Zbl 0830.60072; Zbl 0884.90056; Zbl 0929.60063

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Zentralblatt MATH Berlin [Germany]