4 citations · 5 across the 3 of their papers we have counts for
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math.PR2007★ 4 cited
Exponential Martingales and Time integrals of Brownian Motion
Victor Goodman, Kyounghee Kim
We find a simple expression for the probability density of in terms of its distribution function and the distribution function for the time integral of $…
math.PR2006
Brownian Super-exponents
Victor Goodman
We introduce a transform on the class of stochastic exponentials for d-dimensional Brownian motions. Each stochastic exponential generates another stochastic exponential under the…
math.PR2006★ 1 cited
One-Factor Term Structure without Forward Rates
Victor Goodman, Kyounghee Kim
We construct a no-arbitrage model of bond prices where the long bond is used as a numeraire. We develop bond prices and their dynamics without developing any model for the spot rat…