| 查看: 123 | 回复: 0 | |||
| 当前主题已经存档。 | |||
[资源]
Stochastic Calculus of Variations in Mathematical Finance
|
|||
|
Stochastic Calculus of Variations in Mathematical Finance By Paul Malliavin, Anton Thalmaier, * Publisher: Springer * Number Of Pages: 120 * Publication Date: 2005-12-19 * Sales Rank: 682644 * ISBN / ASIN: 3540434313 * EAN: 9783540434313 * Binding: Hardcover * Manufacturer: Springer * Studio: Springer * Average Rating: * Total Reviews: Book Description: ) 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. [ Last edited by mainpro on 2007-3-27 at 00:04 ] |
回复此楼» 猜你喜欢
全日制（定向）博士
已经有5人回复
-
假如你的研究生提出不合理要求
已经有10人回复
-
萌生出自己或许不适合搞科研的想法，现在跑or等等看？
已经有4人回复
-
Materials Today Chemistry审稿周期
已经有4人回复
-
参与限项
已经有3人回复
-
实验室接单子
已经有4人回复
-
对氯苯硼酸纯化
已经有3人回复
-
求助:我三月中下旬出站，青基依托单位怎么办？
已经有12人回复
-
所感
已经有4人回复
-
要不要辞职读博？
已经有7人回复