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

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dc.contributor.author Nikeghbali, Ashkan en_US
dc.contributor.author Platen, Eckhard en_US
dc.contributor.editor en_US
dc.date.accessioned 2014-04-03T02:09:46Z
dc.date.available 2014-04-03T02:09:46Z
dc.date.issued 2013 en_US
dc.identifier 2011003668 en_US
dc.identifier.citation Nikeghbali, Ashkan and Platen, Eckhard 2013, 'A reading guide for last passage times with financial applications in view', Finance & Stochastics, vol. 17, no. 3, pp. 615-640. en_US
dc.identifier.issn 0949-2984 en_US
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. en_US
dc.language en_US
dc.publisher Springer en_US
dc.relation.isbasedon http://dx.doi.org/10.1007/s00780-013-0207-6 en_US
dc.title A reading guide for last passage times with financial applications in view en_US
dc.parent Finance & Stochastics en_US
dc.journal.volume 17 en_US
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 010200 en_US
dc.personcode 0000050470 en_US
dc.personcode 970685 en_US
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 Last passage times Class S Running maximum 60G17 62P05 C02 C10 G10 en_US
dc.staffid 970685 en_US


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