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Brownian motion is a central model in finance and other areas such as physics. In finance the price of one share of the risky asset, the stock, is modeled by exponential Brownian motion however by taking the log of stock prices, Brownian motion can be used as the basis of the calculations. Over a certain fixed length of time, a reasonably low risk, how much one can lose is as crucial to the success of any fund as a high profit. For this reason, investors are naturally interested in the maximum and the minimum, and also the maximum loss and maximum gain. Therefore it is a good idea to study…mehr

Produktbeschreibung
Brownian motion is a central model in finance and
other areas such as physics. In finance the price of
one share of the risky asset, the stock, is modeled
by exponential Brownian motion however by taking the
log of stock prices, Brownian motion can be used as
the basis of the calculations. Over a certain fixed
length of time, a reasonably low risk, how much one
can lose is as crucial to the success of any fund as
a high profit. For this reason, investors are
naturally interested in the maximum and the minimum,
and also the maximum loss and maximum gain.
Therefore it is a good idea to study their
distributions and joint distributions. For the
investors the results in this book explain the
variability of the maximum and the minimum and of
maximum gain and maximum loss of stock prices and in
this book some useful observations and conjectures
are collected on the risk and gain of stock prices.
Autorenporträt
Ceren Vardar,PhD Statistics: Bowling Green State University,
Ohio USA.