28 citations · 72 across the 6 of their papers we have counts for
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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…
q-fin.CP2008★ 12 cited
From Black-Scholes and Dupire formulae to last passage times of local martingales. Part A : The infinite time horizon
Amel Bentata, Marc Yor
These notes are the first half of the contents of the course given by the second author at the Bachelier Seminar (February 8-15-22 2008) at IHP. They also correspond to topics stud…
math.PR2008
A note about conditional Ornstein-Uhlenbeck processes
Amel Bentata
In this short note, the identity in law, which was obtained by P. Salminen, between on one hand, the Ornstein-Uhlenbeck process with parameter gamma, killed when it reaches 0, and…