Aspects on Brownian Motions and Applications in Asian Options

These talks were given on 10 December 2008 as part of the PhD seminar series organised by the School of Economics & Finance of the University of St Andrews. Prof. Marc Yor speaks 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.

Video can be downloaded here in MP4 format: Lecture 1 (40 minutes) and Lecture 2 (46 minutes)

About the Speaker

Professor Marc Yor is Professor at the Université de Paris 6 - Pierre et Marie Curie (France). He belongs to the Probabilities and Random Models Laboratory and leads the research team on Brownian Motion and Stochastic Calculus.