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Computation of Greeks using Malliavin calculus: Malliavin calculus for both continuous and jump processes and Greeks in finance - Couverture souple
Synopsis
An Important aspect of Mathematical Finance is the pricing of stocks and other assets. Mathematical techniques using stochastic differential equations were developed in the 1970's that led to a breakthrough in the field and enabled the provision of insurance against loss and the provision of a degree of certainty in financial transactions that was unavailable previously. The pricing of assets changes as initial prices, volatility, interest rates and time to maturity change, and there are important other quantities which have an influence on prices. To guard against loss it is essential to know precisely how prices change as these quantities vary. Unfortunately, stochastic and other complexities make this difficult to do. A method of calculation known as the Malliavin calculus has been used in many papers to provide methods for such calculations. This monograph provides a comprehensive outline of the relevant portions of the calculus and its applications to finance, as well as of several important extensions, and uses it to obtain new results which will assist in this much used analysis.
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Présentation de l'éditeur
An Important aspect of Mathematical Finance is the pricing of stocks and other assets. Mathematical techniques using stochastic differential equations were developed in the 1970's that led to a breakthrough in the field and enabled the provision of insurance against loss and the provision of a degree of certainty in financial transactions that was unavailable previously. The pricing of assets changes as initial prices, volatility, interest rates and time to maturity change, and there are important other quantities which have an influence on prices. To guard against loss it is essential to know precisely how prices change as these quantities vary. Unfortunately, stochastic and other complexities make this difficult to do. A method of calculation known as the Malliavin calculus has been used in many papers to provide methods for such calculations. This monograph provides a comprehensive outline of the relevant portions of the calculus and its applications to finance, as well as of several important extensions, and uses it to obtain new results which will assist in this much used analysis.
Biographie de l'auteur
Farai Julius Mhlanga was educated in Zimbabwe where he obtained an MSc degree in Mathematics at the University of Zimbabwe and then registered for his doctoral studies at the University of Cape Town, in the field of Mathematical Finance. Currently Farai is lecturing at the University of Zululand in South Africa.
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Computation of Greeks using Malliavin calculus
Edité par
LAP LAMBERT Academic Publishing Sep 2011, 2011
ISBN 10 : 3846515590
ISBN 13 : 9783846515594
Neuf
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Vendeur : BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -An Important aspect of Mathematical Finance is the pricing of stocks and other assets. Mathematical techniques using stochastic differential equations were developed in the 1970's that led to a breakthrough in the field and enabled the provision of insurance against loss and the provision of a degree of certainty in financial transactions that was unavailable previously. The pricing of assets changes as initial prices, volatility, interest rates and time to maturity change, and there are important other quantities which have an influence on prices. To guard against loss it is essential to know precisely how prices change as these quantities vary. Unfortunately, stochastic and other complexities make this difficult to do. A method of calculation known as the Malliavin calculus has been used in many papers to provide methods for such calculations. This monograph provides a comprehensive outline of the relevant portions of the calculus and its applications to finance, as well as of several important extensions, and uses it to obtain new results which will assist in this much used analysis. 200 pp. Englisch. N° de réf. du vendeur 9783846515594
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Computation of Greeks Using Malliavin Calculus
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Editorial Academica Espanola, 2011
ISBN 10 : 3846515590
ISBN 13 : 9783846515594
Neuf
Couverture souple
Vendeur : Books Puddle, New York, NY, Etats-Unis
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Etat : New. pp. 200. N° de réf. du vendeur 2698158755
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Computation of Greeks using Malliavin calculus
Edité par
LAP LAMBERT Academic Publishing, 2011
ISBN 10 : 3846515590
ISBN 13 : 9783846515594
Neuf
Couverture souple
Vendeur : moluna, Greven, Allemagne
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Etat : New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Mhlanga Farai JuliusFarai Julius Mhlanga was educated in Zimbabwe where he obtained an MSc degree in Mathematics at the University of Zimbabwe and then registered for his doctoral studies at the University of Cape Town, in the field . N° de réf. du vendeur 5495996
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Computation of Greeks Using Malliavin Calculus
Edité par
Editorial Academica Espanola, 2011
ISBN 10 : 3846515590
ISBN 13 : 9783846515594
Neuf
Couverture souple
Vendeur : Majestic Books, Hounslow, Royaume-Uni
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Etat : New. Print on Demand pp. 200 2:B&W 6 x 9 in or 229 x 152 mm Perfect Bound on Creme w/Gloss Lam. N° de réf. du vendeur 95319932
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Computation of Greeks Using Malliavin Calculus
Edité par
Editorial Academica Espanola, 2011
ISBN 10 : 3846515590
ISBN 13 : 9783846515594
Neuf
Couverture souple
Vendeur : Biblios, Frankfurt am main, HESSE, Allemagne
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Etat : New. PRINT ON DEMAND pp. 200. N° de réf. du vendeur 1898158761
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Computation of Greeks using Malliavin calculus
Edité par
LAP LAMBERT Academic Publishing Sep 2011, 2011
ISBN 10 : 3846515590
ISBN 13 : 9783846515594
Neuf
Taschenbuch
Vendeur : buchversandmimpf2000, Emtmannsberg, BAYE, Allemagne
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Taschenbuch. Etat : Neu. This item is printed on demand - Print on Demand Titel. Neuware -An Important aspect of Mathematical Finance is the pricing of stocks and other assets. Mathematical techniques using stochastic differential equations were developed in the 1970's that led to a breakthrough in the field and enabled the provision of insurance against loss and the provision of a degree of certainty in financial transactions that was unavailable previously. The pricing of assets changes as initial prices, volatility, interest rates and time to maturity change, and there are important other quantities which have an influence on prices. To guard against loss it is essential to know precisely how prices change as these quantities vary. Unfortunately, stochastic and other complexities make this difficult to do. A method of calculation known as the Malliavin calculus has been used in many papers to provide methods for such calculations. This monograph provides a comprehensive outline of the relevant portions of the calculus and its applications to finance, as well as of several important extensions, and uses it to obtain new results which will assist in this much used analysis.Books on Demand GmbH, Überseering 33, 22297 Hamburg 200 pp. Englisch. N° de réf. du vendeur 9783846515594
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Computation of Greeks using Malliavin calculus : Malliavin calculus for both continuous and jump processes and Greeks in finance
Edité par
LAP LAMBERT Academic Publishing, 2011
ISBN 10 : 3846515590
ISBN 13 : 9783846515594
Neuf
Taschenbuch
Vendeur : AHA-BUCH GmbH, Einbeck, Allemagne
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Taschenbuch. Etat : Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - An Important aspect of Mathematical Finance is the pricing of stocks and other assets. Mathematical techniques using stochastic differential equations were developed in the 1970's that led to a breakthrough in the field and enabled the provision of insurance against loss and the provision of a degree of certainty in financial transactions that was unavailable previously. The pricing of assets changes as initial prices, volatility, interest rates and time to maturity change, and there are important other quantities which have an influence on prices. To guard against loss it is essential to know precisely how prices change as these quantities vary. Unfortunately, stochastic and other complexities make this difficult to do. A method of calculation known as the Malliavin calculus has been used in many papers to provide methods for such calculations. This monograph provides a comprehensive outline of the relevant portions of the calculus and its applications to finance, as well as of several important extensions, and uses it to obtain new results which will assist in this much used analysis. N° de réf. du vendeur 9783846515594
Quantité disponible : 1 disponible(s)
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Computation of Greeks using Malliavin calculus: Malliavin calculus for both continuous and jump processes and Greeks in finance
Edité par
LAP LAMBERT Academic Publishing, 2011
ISBN 10 : 3846515590
ISBN 13 : 9783846515594
Ancien ou d'occasion
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Paperback. Etat : Like New. Like New. book. N° de réf. du vendeur ERICA79638465155906
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