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Stochastic Calculus of Variations in Mathematical Finance
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...
| Clasificación: | Libro Electrónico |
|---|---|
| Autores principales: | , |
| Autor Corporativo: | |
| Formato: | Electrónico eBook |
| Idioma: | Inglés |
| Publicado: |
Berlin, Heidelberg :
Springer Berlin Heidelberg : Imprint: Springer,
2006.
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| Edición: | 1st ed. 2006. |
| Colección: | Springer Finance,
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| Temas: | |
| Acceso en línea: | Texto Completo |
Tabla de Contenidos:
- 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.