Stochastic Calculus of Variations in Mathematical Finance

• Κύριοι συγγραφείς: Malliavin, Paul (Συγγραφέας), Thalmaier, Anton (Συγγραφέας)
• Συγγραφή απο Οργανισμό/Αρχή: SpringerLink (Online service)
• Μορφή: Ηλεκτρονική πηγή Ηλ. βιβλίο
• Γλώσσα: English
• Έκδοση: Berlin, Heidelberg : Springer Berlin Heidelberg, 2006.
• Σειρά: Springer Finance
• Θέματα: Mathematical analysis.; Analysis (Mathematics).; Economics, Mathematical.; Public finance.; Economics.; Public Economics.; Quantitative Finance.; Analysis.

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 re...

Πίνακας περιεχομένων:

• 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.