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Showing math.PRShow all
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math.PR2008
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part B : The finite time horizon
Amel Bentata, Marc Yor
These notes are the second half of the contents of the course given by the second author at the Bachelier Seminar (8-15-22 February 2008) at IHP. They also correspond to topics stu…
math.PR2008
On the singularity of random matrices with independent entries
Laurent Bruneau, Francois Germinet
We consider n by n real matrices whose entries are non-degenerate random variables that are independent but non necessarily identically distributed, and show that the probability t…