Téléchargez le livre : Stochastic Calculus of Variations in Mathematical Finance

Stochastic Calculus of Variations in Mathematical Finance

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Springer

Paru le : 2006-02-25

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 re...
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Description du livre

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.

À propos

Auteur
Paul Malliavin , Anton Thalmaier
Éditeur
Springer
Collection
n.c
Parution
2006-02-25
Pages
142 pages
EAN papier
9783540434313

Auteur(s) du livre


Defaut-Illustration Paul Malliavin
Defaut-Illustration Anton Thalmaier

Caractéristiques détaillées - droits

EAN PDF
9783540307990
Prix
52,99 €
Nombre pages copiables
1
Nombre pages imprimables
14
Taille du fichier
1208 Ko
Ce livre est accessible aux handicaps informations d'accessibilité

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