Google
Leonid Tolmatz



Institutions and individuals interested in accurate computations
with Asian and other exotic options are welcome to contact:
asian@tolmatz.net


Papers by Leonid Tolmatz

Brownian motion related research applicable in financial modeling, analysis of algorithms, order statistics and other areas. Explicit analysis of distributions of various Wiener functionals, tables and formulae.

  1. Asymptotics of the distribution of the integral of the absolute value of the Brownian bridge for  large arguments. Ann. Probab. 28 132-139 (2000).   01ros_s.pdf (173.5 KB)


  2. A new approach to modeling of target zones. Academia Istropolitana Nova, ISBN 80-85330-79-2 (2000).   47.pdf (208.5 KB)  02graphs.pdf (32.4 KB)


  3. On the distribution of the square integral of the Brownian bridge. Ann. Probab. 30  253-269 (2002).   17s.pdf (211.3 KB)  graphs.pdf (14.8 KB)  


  4. Asymptotics of the distribution of the integral of the absolute value of the Brownian motion for  large arguments. (2001).   30as.pdf (232.6 KB)  graphs_a.pdf (17.6 KB)


  5. Asymptotics of the distribution of the integral of the positive part of the Brownian bridge for  large arguments. J. Math. Anal. Appl. 304 668-682 (2005).   38s.pdf (200.2 KB)


  6. Asymptotics of the distribution of the integral of the exponential (geometric) Brownian motion for  large arguments with application to Asian options. (2002).   11a.pdf (152.1 KB)


  7. On tabulation of the distribution of the integral of the exponential (geometric) Brownian motion. (2003).   05.pdf (100.1 KB)  graph.pdf (11.2 KB)


  8. The saddle point method for the integral of the absolute value of the Brownian motion. Discrete Random Walks, DRW'03, Cyril Banderier and Christian Krattenthaler (eds.), Discrete Mathematics and Theoretical Computer Science Proceedings AC 309-324 (2003).   dmAC0129.pdf (128 KB)


  9. The exponential integral of the Brownian motion delivered. AARMS Workshop in Financial Mathematics. St.John's, August 2003.    07ncl.pdf (144 KB)  01GRAPHS.pdf (24.9 KB) For information on the Workshop see   Research Round Up. University of Calgary, Haskayne School of Business. July/August 2003 p.4


  10. Exact tail asymptotics of a certain Wiener functional. Ph. D. thesis. (1992). A most complete exposition of tail asymptotics computations for the absolute value integral of the Brownian motion, with 8 figures.  lt92.pdf (1.03 MB)


  11. New Stieltjes classes involving generalized gamma distributions. (with J.Stoyanov). Statistics & Probability Letters 69 213-219. (2004).  


  12. Method for constructing Stieltjes classes for M-indeterminate probability distributions. (with J.Stoyanov). Appl. Math. & Comput. 165 669-685. (2005).


  13. Analytical paradigm for Brownian occupation times. (2006).   19s.pdf (180.4 KB)

    tolmatz@netscape.net