Book
Stochastic Calculus of Variations in Mathematical Finance
This up to date text demonstrates the relevance of Malliavin calculus for Mathematical Finance. It 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. «
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ISBN
9783540434313
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