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Stochastic Calculus of Variations in Mathematical Finance [Hardcover]

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Item description for Stochastic Calculus of Variations in Mathematical Finance by Paul Malliavin...

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.

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Item Specifications...

Pages   120
Est. Packaging Dimensions:   Length: 8.5" Width: 6.22" Height: 0.55"
Weight:   0.75 lbs.
Binding  Hardcover
Release Date   Dec 19, 2005
Publisher   Springer
ISBN  3540434313  
ISBN13  9783540434313  

Availability  143 units.
Availability accurate as of Oct 22, 2016 05:08.
Usually ships within one to two business days from La Vergne, TN.
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1Books > Special Features > New & Used Textbooks > Business & Finance > Economics
2Books > Special Features > New & Used Textbooks > Business & Finance > Finance
3Books > Special Features > New & Used Textbooks > Sciences > Mathematics
4Books > Subjects > Professional & Technical > Accounting & Finance > Finance > General
5Books > Subjects > Professional & Technical > Professional Science > Mathematics > Applied > Statistics
6Books > Subjects > Science > General
7Books > Subjects > Science > Mathematics > Applied > Probability & Statistics
8Books > Subjects > Science > Mathematics > General
9Books > Subjects > Science > Mathematics > Popular & Elementary > Pre-Calculus

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