Aspects on Brownian Motions and Applications in Asian Options (2/2)

In a lecture to PhD students at St. Andrews University, Prof. Marc Yor explains his contributions to the theory of Asian options and Brownian functionals. Asian options are the most frequently traded OTC derivatives, and are becoming more and more popular. Prof Yor was the first to systematically study these options, and his Laplace inversion method is used frequently by financial institutions to price and hedge Asian options. Filmed 10 December 2008. More details at http://www.economicsnetwork.ac.uk/archive/standrews_phd/yor_asian_options.htm



The Economics Network
Speaker: Marc Yor

Category:

Education

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• economics
• finance
• lecture