<電子ブック>
Stochastic Calculus of Variations in Mathematical Finance / by Paul Malliavin, Anton Thalmaier
(Springer Finance. ISSN:21950687)
版 | 1st ed. 2006. |
---|---|
出版者 | (Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer) |
出版年 | 2006 |
本文言語 | 英語 |
大きさ | XII, 142 p : online resource |
著者標目 | *Malliavin, Paul author Thalmaier, Anton author SpringerLink (Online service) |
件 名 | LCSH:Finance, Public LCSH:Social sciences -- Mathematics 全ての件名で検索 LCSH:Mathematical analysis FREE:Public Economics FREE:Mathematics in Business, Economics and Finance FREE:Analysis |
一般注記 | Gaussian Stochastic Calculus of Variations -- Computation of Greeks and Integration by Parts Formulae -- Market Equilibrium and Price-Volatility Feedback Rate -- Multivariate Conditioning and Regularity of Law -- Non-Elliptic Markets and Instability in HJM Models -- Insider Trading -- Asymptotic Expansion and Weak Convergence -- Stochastic Calculus of Variations for Markets with Jumps 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 HTTP:URL=https://doi.org/10.1007/3-540-30799-0 |
目次/あらすじ
所蔵情報を非表示
電子ブック | 配架場所 | 資料種別 | 巻 次 | 請求記号 | 状 態 | 予約 | コメント | ISBN | 刷 年 | 利用注記 | 指定図書 | 登録番号 |
---|---|---|---|---|---|---|---|---|---|---|---|---|
電子ブック | オンライン | 電子ブック |
|
Springer eBooks | 9783540307990 |
|
電子リソース |
|
EB00229985 |
類似資料
この資料の利用統計
このページへのアクセス回数:2回
※2017年9月4日以降