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A study of the Hartman–Watson distribution motivated by numerical problems related to the pricing of Asian options
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- Journal of Applied Probability / Volume 41 / Issue 4 / December 2004
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- 14 July 2016, pp. 1049-1058
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- December 2004
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Pricing path-dependent options in a Black-Scholes market from the distribution of homogeneous Brownian functionals
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- Journal of Applied Probability / Volume 41 / Issue 1 / March 2004
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- 14 July 2016, pp. 1-18
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- March 2004
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Frontmatter
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Final suggestions: how to go further?
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Where is the notion N discussed?
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Contents
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References
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Exercises in Probability
- A Guided Tour from Measure Theory to Random Processes, via Conditioning
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Index
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3 - Gaussian variables
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5 - Convergence of random variables
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Preface
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2 - Independence and conditioning
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Some frequently used notations
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1 - Measure theory and probability
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4 - Distributional computations
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6 - Random processes
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On a formula of Takács for Brownian motion with drift
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- Journal of Applied Probability / Volume 35 / Issue 2 / June 1998
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- 14 July 2016, pp. 272-280
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- June 1998
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Two chain-transformations and their applications to quantiles
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- Journal of Applied Probability / Volume 34 / Issue 4 / December 1997
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- 14 July 2016, pp. 882-897
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- December 1997
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On some examples of quadratic functionals of Brownian motion
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- Advances in Applied Probability / Volume 25 / Issue 3 / September 1993
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- 01 July 2016, pp. 570-584
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- September 1993
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