Home/Author

Daniel Dufresne

16 works· latest 2026· 3 institutionscluster: provisionalORCID 0000-0001-6990-0590

h-index16

i1016

Citations1,430

Works here16

Most cited in this library

The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding1990 · 379 citations
Financial Economics: With Applications to Investments, Insurance and Pensions1999 · 145 citations
Laguerre Series for Asian and Other Options2000 · 143 citations
The integral of geometric Brownian motion2001 · 132 citations
The integrated square-root process2001 · 109 citations

Works

16 shown

Sur l'identité de Bougerol pour les fonctionnelles exponentielles du mouvement brownien avec drift

University of Warwick·2026·3 authors·chapter·Open access

33citations

Fourier Inversion Formulas in Option Pricing and Insurance

Methodology And Computing In Applied Probability·2007·3 authors

47citations

Stochastic Life Annuities

North American Actuarial Journal·2007·1 author·Open access

36citations

Bessel Processes and Asian Options

Springer eBooks·2005·1 author·chapter

30citations

The log-normal approximation in financial and other computations

Advances in Applied Probability·2004·1 author

102citations

Accelerated simulation for pricing Asian options

Winter Simulation Conference·2002·2 authors·other

The integrated square-root process

Minerva Access (University of Melbourne)·2001·1 author·preprint

109citations

An affine property of the reciprocal Asian option process

Osaka City University (Osaka City University)·2001·1 author·Open access

22citations

The integral of geometric Brownian motion

Advances in Applied Probability·2001·1 author

132citations

Laguerre Series for Asian and Other Options

Mathematical Finance·2000·1 author·Open access

143citations

The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding

Scandinavian Actuarial Journal·1990·1 author

379citations

Weak convergence of random growth processes with applications to insurance

Insurance Mathematics and Economics·1989·1 author

34citations

Stability of pension systems when rates of return are random

Insurance Mathematics and Economics·1989·1 author

60citations

Movements of pension contributions and fund levels when rates of return are random

Journal of the Institute of Actuaries·1988·1 author

77citations