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Stochastic Calculus of Variations in Mathematical Finance
Hardcover
Series: Springer Finance
Investing & FinanceGeneral Mathematics
ISBN13: 9783540434313
Publisher: Springer
Published: Nov 3 2005
Pages: 142
Weight: 0.80
Height: 0.55 Width: 6.36 Depth: 9.54
Language: English
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.
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