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Více informací o knize Stochastic Calculus of Variations in Mathematical Finance

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Anotace knihy

Highly esteemed author§Topics covered are relevant and timelyMalliavin 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.

Parametry knihy

Zařazení knihy Knihy v angličtině Mathematics & science Mathematics Calculus & mathematical analysis

• Plný název: Stochastic Calculus of Variations in Mathematical Finance
• Autor: Paul Malliavin, Anton Thalmaier
• Jazyk: Angličtina
• Vazba: Brožovaná
• Počet stran: 142
• EAN: 9783642077838
• ISBN: 3642077838
• ID: 01652880
• Nakladatelství: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
• Hmotnost: 248 g
• Rozměry: 235 × 155 × 9 mm
• Datum vydání: 29. November 2010

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