Aspects on Brownian Motions and Applications in Asian Options, (1/2)

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Uploaded by on May 10, 2011

In a lecture to PhD students at the University of St. Andrews, Prof Marc Yor talks about 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
Host: Christian Ewald

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Education

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