Stochastic Calculus of Variations in Mathematical Finance

by Paul Malliavin and Anton Thalmaier

Book Overview

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.

• Format: Paperback
• Language: English
• ISBN: 3642077838
• ISBN13: 9783642077838
• Release Date: November 2010
• Publisher: Springer
• Length: 142 Pages
• Weight: 0.50 lbs.
• Dimensions: 0.3" x 6.1" x 9.2"