Stochastic Calculus of Variations in Mathematical Finance (Springer Finance) - Tapa blanda

Malliavin, Paul; Thalmaier, Anton

 
9783642077838: Stochastic Calculus of Variations in Mathematical Finance (Springer Finance)
Tapa blanda
ISBN 10: 3642077838 ISBN 13: 9783642077838
Editorial: Springer, 2010

Sinopsis

This extensive and up-to-date text demonstrates the relevance of Malliavin calculus for Mathematical Finance. It starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.

"Sinopsis" puede pertenecer a otra edición de este libro.

De la contraportada

Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.

"Sobre este título" puede pertenecer a otra edición de este libro.

Editorial
Springer
Año de publicación
2010
Idioma
Inglés
ISBN 10 
3642077838
ISBN 13 
9783642077838
Encuadernación
Tapa blanda
Número de páginas
156
Contacto del fabricante
no disponible
Persona responsable
CMN Printpool Inh. Mathis Neumann
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Friedrich-Karl-Str. 9
Hamburg
Alemania

Otras ediciones populares con el mismo título

9783540434313: Stochastic Calculus of Variations in Mathematical Finance (Springer Finance)

Edición Destacada

ISBN 10:  3540434313 ISBN 13:  9783540434313
Editorial: Springer, 2005
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