Ebook Stochastic calculus of variations in mathematical finance - Paul Malliavin, Anton Thalmaier

Ebook "Stochastic calculus of variations in mathematical finance" 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.

Từ khóa: Stochastic calculus of variations in mathematical finance, Mathematical finance, Stroock–Sobolev spaces, Price-volatility feedback rate, Multivariate conditioning, Malliavin covariance matrix, Horizontal parametrization