Bernard Roynette's Books

Penalising Brownian Paths

By: Bernard Roynette,Marc Yor

Write a review Read reviews Take a Quiz Solve Book Puzzle

Penalising a process is to modify its distribution with a limiting procedure, thus defining a new process that differs from the original. This book presents a number of examples of such penalisations in the Brownian and Bessel processes framework.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

291

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540896988

ISBN 13

9783540896982

Peacocks and Associated Martingales, with Explicit Constructions

By: Francis Hirsch,Christophe Profeta,Bernard Roynette,Marc Yor

Write a review Read reviews Take a Quiz Solve Book Puzzle

Peacocks and Associated Martingales, with Explicit Constructions

By: Francis Hirsch,Christophe Profeta,Bernard Roynette,Marc Yor

We call peacock an integrable process which is increasing in the convex order; such a notion plays an important role in Mathematical Finance. A deep theorem due to Kellerer states that a process is a peacock if and only if it has the same one-dimensional marginals as a martingale. Such a martingale is then said to be associated to this peacock. In this monograph, we exhibit numerous examples of peacocks and associated martingales with the help of different methods: construction of sheets, time reversal, time inversion, self-decomposability, SDE, Skorokhod embeddings. They are developed in eight chapters, with about a hundred of exercises.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

412

Publisher

Springer Science & Business Media

Published Date

ISBN 10

8847019087

ISBN 13

9788847019089

Option Prices as Probabilities

A New Look at Generalized Black-Scholes Formulae

By: Christophe Profeta,Bernard Roynette,Marc Yor

Write a review Read reviews Take a Quiz Solve Book Puzzle

Option Prices as Probabilities

A New Look at Generalized Black-Scholes Formulae

By: Christophe Profeta,Bernard Roynette,Marc Yor

Discovered in the seventies, Black-Scholes formula continues to play a central role in Mathematical Finance. We recall this formula. Let (B ,t? 0; F ,t? 0, P) - t t note a standard Brownian motion with B = 0, (F ,t? 0) being its natural ?ltra- 0 t t tion. Let E := exp B? ,t? 0 denote the exponential martingale associated t t 2 to (B ,t? 0). This martingale, also called geometric Brownian motion, is a model t to describe the evolution of prices of a risky asset. Let, for every K? 0: + ? (t) :=E (K?E ) (0.1) K t and + C (t) :=E (E?K) (0.2) K t denote respectively the price of a European put, resp. of a European call, associated with this martingale. Let N be the cumulative distribution function of a reduced Gaussian variable: x 2 y 1 ? 2 ? N (x) := e dy. (0.3) 2? ?? The celebrated Black-Scholes formula gives an explicit expression of? (t) and K C (t) in terms ofN : K ? ? log(K) t log(K) t ? (t)= KN ? + ?N ? ? (0.4) K t 2 t 2 and ? ?

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

282

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3642103952

ISBN 13

9783642103957

Penalising Brownian Paths

By: Bernard Roynette,Marc Yor

Write a review Read reviews Take a Quiz Solve Book Puzzle

Penalising Brownian Paths

By: Bernard Roynette,Marc Yor

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

291

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3540896988

ISBN 13

9783540896982

Peacocks and Associated Martingales, with Explicit Constructions

By: Francis Hirsch,Christophe Profeta,Bernard Roynette,Marc Yor

Write a review Read reviews Take a Quiz Solve Book Puzzle

Peacocks and Associated Martingales, with Explicit Constructions

By: Francis Hirsch,Christophe Profeta,Bernard Roynette,Marc Yor

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

412

Publisher

Springer Science & Business Media

Published Date

ISBN 10

8847019087

ISBN 13

9788847019089

Option Prices as Probabilities

A New Look at Generalized Black-Scholes Formulae

By: Christophe Profeta,Bernard Roynette,Marc Yor

Write a review Read reviews Take a Quiz Solve Book Puzzle

Option Prices as Probabilities

A New Look at Generalized Black-Scholes Formulae

By: Christophe Profeta,Bernard Roynette,Marc Yor

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

282

Publisher

Springer Science & Business Media

Published Date

ISBN 10

3642103952

ISBN 13

9783642103957

A Global View of Browmian Penalisations

By: Joseph Najnudel,Bernard Roynette,Marc Yor

Write a review Read reviews Take a Quiz Solve Book Puzzle

A Global View of Browmian Penalisations

By: Joseph Najnudel,Bernard Roynette,Marc Yor

The present volume is an expository monograph on Brownian penalisation, an important new notion the authors introduced to the theory of Wiener measure and Markov processes. It will serve as a concise guidebook for students and researchers who study probability theory, stochastic processes and mathematical finance.Published by Mathematical Society of Japan and distributed by World Scientific Publishing Co. for all markets

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

137

Publisher

Mathematical Society Of Japan Memoirs

Published Date

ISBN 10

4931469523

ISBN 13

9784931469525

Emile Bernard (1868-1941)

By: Fred Leeman,Wildenstein Institute

Write a review Read reviews Take a Quiz Solve Book Puzzle

Emile Bernard (1868-1941)

By: Fred Leeman,Wildenstein Institute

Ces quelques lignes résument parfaitement la carrière d'Emile Bernard, dont l'oeuvre peint reste encore aujourd'hui largement méconnu. Cet esprit curieux et profondément religieux s'impose pourtant comme un des théoriciens du cloisonnisme et du synthétisme,à l'origine du symbolisme pictural. A travers cette première monographie, l'historien d'art néerlandais Fred Leeman, avec la participation des descendants de l'artiste, retrace son parcours complexe et analyse ses oeuvres les plus significatives, comme Madeleine au Bois d'Amour, Bretonnes dans la prairie ou Le Pardon, ou encore l'Autoportrait symbolique dit Vision, la Vision d'Egypte et le Cycle humain. Des lettres et textes inédits d'Emile Bernard ainsi que des documents provenant des archives familiales viennent étayer cette étude.

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

495

Publisher

Citadelles et Mazenod

Published Date

ISBN 10

2850885711

ISBN 13

9782850885716

Book's by Bernard Roynette

Penalising Brownian Paths

Penalising Brownian Paths

Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions

Option Prices as Probabilities

Option Prices as Probabilities

Penalising Brownian Paths

Penalising Brownian Paths

Peacocks and Associated Martingales, with Explicit Constructions

Peacocks and Associated Martingales, with Explicit Constructions

Option Prices as Probabilities

Option Prices as Probabilities

A Global View of Browmian Penalisations

A Global View of Browmian Penalisations

Emile Bernard (1868-1941)

Emile Bernard (1868-1941)

Username

Password

Username

Password

Password again

Birthday

Email