Finance and Stochastics

, Volume 17, Issue 3, pp 615–640 | Cite as

A reading guide for last passage times with financial applications in view

  • Ashkan NikeghbaliEmail author
  • Eckhard Platen


In this survey on last passage times, we propose a new viewpoint which provides a unified approach to many different results which appear in the mathematical finance literature and in the theory of stochastic processes. In particular, we are able to improve the assumptions under which some well-known results are usually stated. Moreover we give some new and detailed calculations for the computation of the distribution of some large classes of last passage times. We have kept in this survey only the aspects of the theory which we expect potentially to be relevant for financial applications.


Last passage times Class Σ Running maximum 

Mathematics Subject Classification (2000)

60G17 62P05 

JEL Classification

C02 C10 G10 


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Copyright information

© Springer-Verlag Berlin Heidelberg 2013

Authors and Affiliations

  1. 1.Institut für MathematikUniversität ZürichZürichSwitzerland
  2. 2.Department of Banking and FinanceUniversität ZürichZürichSwitzerland
  3. 3.Finance Discipline Group and School of Mathematical SciencesUniversity of Technology SydneyBroadwayAustralia

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