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9783540434313

Stochastic Calculus of Variations in Mathematical Finance

Stochastic Calculus of Variations in Mathematical Finance
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  • ISBN-13: 9783540434313
  • ISBN: 3540434313
  • Publication Date: 2006
  • Publisher: Springer

AUTHOR

Malliavin, Paul, Thalmaier, Anton

SUMMARY

This volume demonstrates the relevance of Malliavin calculus for Mathematical Finance and starts with an exposition from scratch of this theory. Greeks are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuations of digital options.Malliavin, Paul is the author of 'Stochastic Calculus of Variations in Mathematical Finance', published 2006 under ISBN 9783540434313 and ISBN 3540434313.

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