The Law of Geometric Brownian Motion and its Integral, Revisited Application to Conditional
Moments Page 1 The Law of Geometric Brownian Motion and its Integral, Revisited …

In this paper, distributional questions which arise in certain mathematical finance models are
studied: the distribution of the integral over a fixed time interval [0, T] of the exponential of …

This monograph contains:-ten papers written by the author, and co-authors, between
December 1988 and October 1998 about certain exponential functionals of Brownian motion …

People in nancial mathematics make their living (in part) by Itô's lemma: df (b)= f (b) db+ 1 2f
(b) dt in which f is a smooth function and b (t): t≥ 0 is the standard Brownian motion BM (1) …

This paper discusses and surveys some aspects of the potential theory of subordinate
Brownian motion under the assumption that the Laplace exponent of the corresponding …

This paper studies the law of any real powers of the integral of geometric Brownian motion
over finite time intervals. As its main results, an apparently new integral representation is …

The Bachelier Society for Mathematical Finance held its first World Congress in Paris last
year, and coincided with the centenary of Louis Bacheliers thesis defence. In his thesis …

This paper is about the probability law of the integral of geometric Brownian motion over a
finite time interval. A partial differential equation is derived for the Laplace transform of the …

In this paper we obtain a simple, explicit integral form for the moment generating function of
the reciprocal of the random variable defined by $ A^{(\nu)} _t:=\int^ t _0\exp (2B_s+ 2\nu s) …

This open access textbook is the first to provide Business and Economics Ph. D. students
with a precise and intuitive introduction to the formal backgrounds of modern financial …