Atiya, Amir F.

On the maximum drawdown of a Brownian motion

Magdon-Ismail, M., Atiya, A. F., Pratap, A., & Abu-Mostafa, Y. S. (2004) · Journal of Applied Probability

Stochastic processes and financial applicationsProbability and Risk Models

Cited by 180

The maximum drawdown of the Brownian motion

Magdon-Ismail, M., Atiya, A., Pratap, A., & Abu-Mostafa, Y. (2003) · 2003 IEEE International Conference on Computational Intelligence for Financial Engineering, 2003. Proceedings.

Stochastic processes and financial applicationsRisk and Portfolio Optimization

Cited by 24