Stochastic Calculus of Variations in Mathematical Finance - Couverture souple

Malliavin, Paul; Thalmaier, Anton

9783642077838: Stochastic Calculus of Variations in Mathematical Finance

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ISBN 10 : 3642077838 ISBN 13 : 9783642077838

Editeur : Springer, 2010

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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.

Les informations fournies dans la section � Synopsis � peuvent faire r�f�rence � une autre �dition de ce titre.

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Highly esteemed author Topics covered are relevant and timely

Les informations fournies dans la section � A propos du livre � peuvent faire r�f�rence � une autre �dition de ce titre.

�diteur: Springer
Date d'�dition: 2010
Langue: anglais
ISBN 10: 3642077838
ISBN 13: 9783642077838
Reliure: Broch�
Nombre de pages: 156
Coordonn�es du fabricant: non disponible
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Stochastic Calculus of Variations in Mathematical Finance

Paul Malliavin|Anton Thalmaier

Edit� par Springer Berlin Heidelberg, 2010

ISBN 10 : 3642077838 ISBN 13 : 9783642077838

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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Extremely famous author. The Stochastic calculus of variations is usually denoted as&nbsp the Malliavin Calculus Very up-to-date topics (see contents )Self-contained, with a view to numerical applicationsWhile Mal. N� de r�f. du vendeur 5046842

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Stochastic Calculus of Variations in Mathematical Finance

Anton Thalmaier

Edit� par Springer Berlin Heidelberg, 2010

ISBN 10 : 3642077838 ISBN 13 : 9783642077838

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Taschenbuch. Etat : Neu. Druck auf Anfrage Neuware - Printed after ordering - 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. N� de r�f. du vendeur 9783642077838

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Stochastic Calculus of Variations in Mathematical Finance

Anton Thalmaier

Edit� par Springer Berlin Heidelberg Nov 2010, 2010

ISBN 10 : 3642077838 ISBN 13 : 9783642077838

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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -Highly esteemed authorTopics covered are relevantand timely 156 pp. Englisch. N� de r�f. du vendeur 9783642077838

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Stochastic Calculus of Variations in Mathematical Finance

Malliavin, Paul; Thalmaier, Anton

Edit� par Springer, 2010

ISBN 10 : 3642077838 ISBN 13 : 9783642077838

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Vendeur : Sizzler Texts, SAN GABRIEL, CA, Etats-Unis

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Soft cover. Etat : New. Etat de la jaquette : New. 1st Edition. This book is the international edition in mint condition with the different ISBN and book cover design, the major content is printed in full English as same as the original North American edition. All shipments contain tracking numbers. Great professional textbook selling experience and expedite shipping service. N� de r�f. du vendeur ABE-8048869331

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Stochastic Calculus of Variations in Mathematical Finance (Paperback or Softback)

Malliavin, Paul

Edit� par Springer 11/30/2010, 2010

ISBN 10 : 3642077838 ISBN 13 : 9783642077838

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Vendeur : BargainBookStores, Grand Rapids, MI, Etats-Unis

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Paperback or Softback. Etat : New. Stochastic Calculus of Variations in Mathematical Finance 0.5. Book. N� de r�f. du vendeur BBS-9783642077838

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Stochastic Calculus of Variations in Mathematical Finance

Anton Thalmaier

Edit� par Springer Berlin Heidelberg, Springer Berlin Heidelberg Nov 2010, 2010

ISBN 10 : 3642077838 ISBN 13 : 9783642077838

Neuf Taschenbuch

Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne

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Taschenbuch. Etat : Neu. Neuware -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.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 156 pp. Englisch. N� de r�f. du vendeur 9783642077838

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