Coverart for item
The Resource Stochastic calculus of variations in mathematical finance, Paul Malliavin, Anton Thalmaier

Stochastic calculus of variations in mathematical finance, Paul Malliavin, Anton Thalmaier

Label
Stochastic calculus of variations in mathematical finance
Title
Stochastic calculus of variations in mathematical finance
Statement of responsibility
Paul Malliavin, Anton Thalmaier
Creator
Contributor
Subject
Language
eng
Summary
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
Member of
Is part of
Cataloging source
COO
http://library.link/vocab/creatorDate
1925-2010
http://library.link/vocab/creatorName
Malliavin, Paul
Dewey number
332.01/519232
Illustrations
illustrations
Index
index present
Language note
English
LC call number
HG106
LC item number
.M35 2006
Literary form
non fiction
Nature of contents
  • dictionaries
  • bibliography
http://library.link/vocab/relatedWorkOrContributorName
Thalmaier, Anton
Series statement
Springer finance
http://library.link/vocab/subjectName
  • Finance
  • Stochastic processes
  • BUSINESS & ECONOMICS
  • Stochastic processes
  • Statistiek
  • Finances
  • Processus stochastiques
  • Finance
  • Finance
  • Stochastic processes
  • Statistiek
Label
Stochastic calculus of variations in mathematical finance, Paul Malliavin, Anton Thalmaier
Instantiates
Publication
Bibliography note
Includes bibliographical references (pages 127-138) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Gaussian stochastic calculus of variations -- Pathwise propagation of Greeks in complete elliptic markets.- Market equilibrium and price-volatility feedback rate -- Multivariate conditioning and regularity of laws -- Non-elliptic markets and instability in HJM models.- Insider trading -- Rates of weak convergence and distribution theory on Gaussian spaces.-Fourier series method for the measurement of historical volatilities
Control code
67771985
Dimensions
unknown
Extent
1 online resource (xi, 142 pages)
Form of item
online
Isbn
9783540434313
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
  • 9783540434313
  • 10.1007/3-540-30799-0
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-43431-3
Specific material designation
remote
System control number
(OCoLC)67771985
Label
Stochastic calculus of variations in mathematical finance, Paul Malliavin, Anton Thalmaier
Publication
Bibliography note
Includes bibliographical references (pages 127-138) and index
Carrier category
online resource
Carrier category code
  • cr
Carrier MARC source
rdacarrier
Content category
text
Content type code
  • txt
Content type MARC source
rdacontent
Contents
Gaussian stochastic calculus of variations -- Pathwise propagation of Greeks in complete elliptic markets.- Market equilibrium and price-volatility feedback rate -- Multivariate conditioning and regularity of laws -- Non-elliptic markets and instability in HJM models.- Insider trading -- Rates of weak convergence and distribution theory on Gaussian spaces.-Fourier series method for the measurement of historical volatilities
Control code
67771985
Dimensions
unknown
Extent
1 online resource (xi, 142 pages)
Form of item
online
Isbn
9783540434313
Media category
computer
Media MARC source
rdamedia
Media type code
  • c
Other control number
  • 9783540434313
  • 10.1007/3-540-30799-0
Other physical details
illustrations.
http://library.link/vocab/ext/overdrive/overdriveId
978-3-540-43431-3
Specific material designation
remote
System control number
(OCoLC)67771985

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      38.944491 -92.326012
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