Stochastic calculus of variations in mathematical finance

著者

• Malliavin, Paul
• Thalmaier, A.

書誌事項

Stochastic calculus of variations in mathematical finance

Paul Malliavin, Anton Thalmaier

（Springer finance）

Springer, c2006

注記

Bibliography: p. [127]-138

Includes index

内容説明・目次

内容説明

Highly esteemed author Topics covered are relevant and timely

目次

Gaussian Stochastic Calculus of Variations.- Pathwise propagation of Greeks in complete elliptic markets.- Market equilibrium and price-volatility feedback rate.-Multivariate conditioning and regularity of laws.- Non-elliptic markets and instability in HJM models.- Insider trading.- Rates of weak convergence and distribution theory on Gaussian spaces.-Fourier series method for the measurement of historical volatilities.

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詳細情報

• NII書誌ID(NCID): BA74246565
• ISBN:
  • 3540434313
• LCCN: 2005930379
• 出版国コード: gw
• タイトル言語コード: eng
• 本文言語コード: eng
• 出版地: Berlin
• ページ数/冊数: xi, 142 p.
• 大きさ: 24 cm
• 分類:
  • DC22 : 519.23
• 件名:
  • LCSH : Stochastic processes
  • LCSH : Finance -- Mathematical models
• 親書誌ID:
  • BA37506339