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...
Tallennettuna:
| Päätekijät: | , |
|---|---|
| Aineistotyyppi: | Livre numérique |
| Kieli: | Anglais |
| Julkaistu: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| Sarja: | Springer Finance
|
| Aiheet: | |
| Linkit: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| Huomautus: |
Description d'après consultation du 27 avril 2011 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Stochastic calculus of variations in mathematical finance, Paul Malliavin, Anton Thalmaier, 2006, Berlin, Springer, 1 vol. (XI-142 p.), Springer finance, 978-3-540-43431-3 |
Sisällysluettelo:
- 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