Celebratio Mathematica — Yor — Complete Bibliography

Complete Bibliography

Works connected to Christophe Profeta

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C. Profeta, B. Roynette, and M. Yor: Option prices as probabilities: A new look at generalized Black–Scholes formulae. Springer Finance. Springer (Berlin), 2010. MR 2582990 Zbl 1188.91004 book

To the best of our knowledge this book discusses in a unique way last passage times. The Black–Scholes formula plays a central role in Mathematical Finance; it gives the right price at which buyer and seller can agree with, in the geometric Brownian framework, when strike \( K \) and maturity \( T \) are given. This yields an explicit well-known formula, obtained by Black and Scholes in 1973. The present volume gives another representation of this formula in terms of Brownian last passages times, which, to our knowledge, has never been made in this sense. The volume is devoted to various extensions and discussions of features and quantities stemming from the last passages times representation in the Brownian case such as: past-future martingales, last passage times up to a finite horizon, pseudo-inverses of processes.. They are developed in eight chapters, with complements, appendices and exercises.

Bernard Roynette	Related
Christophe Profeta	Related

F. Hirsch, C. Profeta, B. Roynette, and M. Yor: “Constructing self-similar martingales via two Skorokhod embeddings,” pp. 451–503 in Séminaire de probabilités XLIII [Forty-third probability seminar]. Edited by C. Donati-Martin, A. Lejay, and A. Rouault. Lecture Notes in Mathematics 2006. Springer (Berlin), 2011. MR 2790387 Zbl 1234.60047 incollection

Bernard Roynette	Related
Christophe Profeta	Related

F. Hirsch, C. Profeta, B. Roynette, and M. Yor: Peacocks and associated martingales, with explicit constructions. Bocconi & Springer Series 3. Springer (New York), 2011. MR 2808243 Zbl 1227.60001 book

Bernard Roynette	Related
Christophe Profeta	Related