Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts a… Plus…
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., Springer<
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*Stochastic Calculus of Variations in Mathematical Finance* / pdf eBook für 53.49 € / Aus dem Bereich: eBooks, Fachthemen & Wissenschaft, Mathematik Medien > Bücher nein eBook als pdf eBo… Plus…
*Stochastic Calculus of Variations in Mathematical Finance* / pdf eBook für 53.49 € / Aus dem Bereich: eBooks, Fachthemen & Wissenschaft, Mathematik Medien > Bücher nein eBook als pdf eBooks > Fachthemen & Wissenschaft > Mathematik, Springer-Verlag GmbH<
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Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts a… Plus…
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., Springer<
Nr. 978-3-540-30799-0. Frais d'envoiWorldwide free shipping, , DE. (EUR 0.00)
*Stochastic Calculus of Variations in Mathematical Finance* / pdf eBook für 53.49 € / Aus dem Bereich: eBooks, Fachthemen & Wissenschaft, Mathematik Medien > Bücher nein eBook als pdf eBo… Plus…
*Stochastic Calculus of Variations in Mathematical Finance* / pdf eBook für 53.49 € / Aus dem Bereich: eBooks, Fachthemen & Wissenschaft, Mathematik Medien > Bücher nein eBook als pdf eBooks > Fachthemen & Wissenschaft > Mathematik, Springer-Verlag GmbH<
3540307990. Frais d'envoiIn stock (Download), , Versandkostenfrei nach Hause oder Express-Lieferung in Ihre Buchhandlung., DE. (EUR 0.00)
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Informations détaillées sur le livre - Stochastic Calculus of Variations in Mathematical Finance
EAN (ISBN-13): 9783540307990 ISBN (ISBN-10): 3540307990 Date de parution: 2006 Editeur: Springer-Verlag GmbH 142 Pages Langue: eng/Englisch
Livre dans la base de données depuis 2007-01-28T22:46:32+01:00 (Paris) Page de détail modifiée en dernier sur 2024-01-14T10:59:00+01:00 (Paris) ISBN/EAN: 3540307990
ISBN - Autres types d'écriture: 3-540-30799-0, 978-3-540-30799-0 Autres types d'écriture et termes associés: Auteur du livre: thalmaier, malliavin, paul, anton, zander, axel springer, watanabe Titre du livre: the calculus variations, stochastic, mathematical finance
Données de l'éditeur
Auteur: Paul Malliavin Titre: Springer Finance; Stochastic Calculus of Variations in Mathematical Finance Editeur: Springer; Springer Berlin 142 Pages Date de parution: 2006-02-25 Berlin; Heidelberg; DE Langue: Anglais 55,00 € (DE)
EA; E107; eBook; Nonbooks, PBS / Wirtschaft/Volkswirtschaft; Öffentlicher Dienst und öffentlicher Sektor; Verstehen; American option; Insider information; Malliavin calculus; Market equilibrium; Monte Carlo weight; Price sensitivity; Stochastic Processes; Stochastic calculus; Volatility measurement; calculus; quantitative finance; B; Public Economics; Mathematics in Business, Economics and Finance; Analysis; Mathematics and Statistics; Angewandte Mathematik; Wirtschaftswissenschaft, Finanzen, Betriebswirtschaft und Management; Mathematische Analysis, allgemein; BB
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.
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