686 References
389. H.U. Gerber and E.S.W. Shiu. From ruin theory to pricing reset guarantees
and perpetual put options. Insurance: Mathematics and Economics, 24:3–14,
1999.
390. R.K. Getoor and M.J. Sharpe. Conformal martingales. Invent. Math., 16:271–
308, 1972.
391. R. Gibson and E. Schwartz. Stochastic convenience yield and the pricing of
contingent claims. J. of Finance, 45:959–976, 1990.
392. H-J. Girlich. Bachelier’s predecessors and the situation in 1900. Preprint, 2003.
393. I.V. Girsanov. On transforming a certain class of stochastic processs by
absolutely continuous substitution of measures. Theory of Probability and Its
Applications, 5:285–301, 1960.
394. I.V. Girsanov. An example of non-uniqueness of a solution of Itˆo’s stochastic
equation. Theory of Probability and Its Applications, 7:336–342, 1962.
395. E. Gobet. Les math´ematiques appliqu´ees au cœur de la finance. Images des
Math´ematiques, CNRS, 2004.
396. E. Gobet, G. Pag`es, and M. Yor. Math´ematiques et finance. In M. Yor, editor,
Aspects des math´ematiques financi`eres, Journ´ee organis´ee `al’Acad´emie des
sciences, 1 F´evrier 2005, pages 77–98. Lavoisier, Paris, 2006.
397. A. G¨oing-Jaeschke and M. Yor. A clarification about hitting times densities
for Ornstein-Uhlenbeck processes. Finance and Stochastics, 7:413–415, 2003.
398. A. G¨oing-Jaeschke and M. Yor. A survey and some generalizations of Bessel
processes. Bernoulli, 9:313–349, 2003.
399. B.M. Goldman, H.B. Sosin, and M.A. Gatto. Path-dependent options: buy at
low, sell at high. J. of Finance, 34:111–127, 1979.
400. T. Goll and J. Kallsen. Optimal portfolio for logarithm utility. Stochastic
Processes and their Appl., 89:31–48, 2000.
401. C. Gourieroux, J-P. Laurent, and H. Pham. Quadratic hedging and numeraire.
Math. Finance, 10:179–200, 2000.
402. M. Grasselli. La gestion de portefeuille `a long terme : une approche de finance
math´ematique.Th`ese, Paris 1, 2001.
403. A.J. Grau. Moving window. Preprint, Working Paper, School of Computer
Science, University of Waterloo, 2003.
404. A.J. Grau and J. Kallsen. Speedy Monte Carlo pricing of path-dependant
options. Working Paper, HVB-Institute for Mathematical Finance, Technische
Universit¨at M¨unchen, Germany, 2004.
405. S. Graversen, A.N. Shiryaev, and M. Yor. On the problem of stochastic integral
representations of functionals of the brownian motion. II. Theory of Probability
and its Applications, 51(1):65–77, 2007.
406. Y.M. Greenfeld. Hedging of the Credit Risk Embedded in Derivative
Transactions. Ph. D. thesis, Carnegie Mellon, May 2000.
407. P.E. Greenwood and J.W. Pitman. Fluctuation identities for L´evy processes
and splitting at the maximum. Adv. Appl. Prob., 12:839–902, 1977.
408. J. Gregory, editor.
Credit Derivatives, the Definite Guide. Risk Books, 2003.
409. P. Groeneboom. Brownian motion with a parabolic drift and Airy functions.
Probability Theory and Related Fields, 81:79–109, 1989.
410. A. Grorud and M. Pontier. Insider trading in a continuous time market model.
International Journal of Theoretical and Applied Finance, 1:331–347, 1998.
411. A. Grorud and M. Pontier. Asymmetrical information and incomplete markets.
International Journal of Theoretical and Applied Finance, 4:285–302, 2001.