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Stochastic Calculus of Variations in Mathematical Finance

Stochastic Calculus of Variations in Mathematical Finance

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Springer Finance

Stochastic Calculus of Variations in Mathematical Finance

Paul Malliavin | Anton Thalmaier

Business & Economics / Public Finance

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.


Publication Date: 30 November 2010
Publisher: Springer Berlin Heidelberg
Imprint: Springer
ISBN-13: 9783642077838
Format: Paperback / softback
Page Count: 142

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