Stochastic Calculus of Variations in Mathematical Finance - Couverture rigide

Malliavin, Paul; Thalmaier, Anton

Couverture rigide

ISBN 10 : 3540434313 ISBN 13 : 9783540434313

Editeur : Springer-Verlag Berlin and Heidelberg GmbH & Co. K, 2005

Synopsis

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.

A propos du livre

Présentation de l'éditeur

Highly esteemed author Topics covered are relevant and timely

Détails de l'édition

• Éditeur: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
• Date d'édition: 2005
• Langue: anglais
• ISBN 10: 3540434313
• ISBN 13: 9783540434313
• Reliure: Relié
• Nombre de pages: 154
• Coordonnées du fabricant: ProductSafety@springernature.com; ProductSafety@springernature.com; ; Poststr. 9; Darmstadt; 64293; Allemagne