Stochastic Calculus of Variations in Mathematical Finance

Language: English

Published by Springer, 2005

3540434313 / 9783540434313

Series: Book 22 of 53 - Springer Finance

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Seller: AHA-BUCH GmbH, Einbeck, GermanyAHA-BUCH GmbH

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Druck auf Anfrage Neuware - Printed after ordering - This extensive and up-to-date text demonstrates the relevance of Malliavin calculus for Mathematical Finance. It 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. 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.

Seller Inventory # 9783540434313

Title
Stochastic Calculus of Variations in Mathematical Finance
Author
Anton Thalmaier
Publisher
Springer
Publication year
2005
Condition
Neu
Binding
Buch
Language
English
ISBN 10
3540434313
ISBN 13
9783540434313
Item weight
354 grams
Dimensions
241x160x15 mm
Series
Book 22 of 53: Springer Finance

AHA-BUCH GmbH

Einbeck, Germany

5-star seller

AbeBooks seller since August 14, 2006

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