2074932
9783540434313
Stochastic Calculus of Variations in Mathematical Finance
by Malliavin, Paul, Thalmaier, Anton
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Product details
- ISBN-13: 9783540434313
- ISBN: 3540434313
- Publication Date: 2006
- Publisher: Springer
AUTHOR
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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