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008 150903s2006 gw | o |||| 0|eng d
020 _a9783540307990
_99783540307990
024 7 _a10.1007/3540307990
_2doi
035 _avtls000347549
039 9 _a201509030444
_bVLOAD
_c201404121432
_dVLOAD
_c201404091209
_dVLOAD
_y201402070934
_zstaff
040 _aMX-SnUAN
_bspa
_cMX-SnUAN
_erda
050 4 _aHB135-147
100 1 _aMalliavin, Paul.
_eautor
_9327623
245 1 0 _aStochastic Calculus of Variations in Mathematical Finance /
_cby Paul Malliavin, Anton Thalmaier.
264 1 _aBerlin, Heidelberg :
_bSpringer Berlin Heidelberg,
_c2006.
300 _axI, 142 páginas
_brecurso en línea.
336 _atexto
_btxt
_2rdacontent
337 _acomputadora
_bc
_2rdamedia
338 _arecurso en línea
_bcr
_2rdacarrier
347 _aarchivo de texto
_bPDF
_2rda
490 0 _aSpringer Finance
500 _aSpringer eBooks
505 0 _aGaussian 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.
520 _aMalliavin 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 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. Finite-dimensional projections of infinite-dimensional Sobolev spaces lead to Monte Carlo computations of conditional expectations useful for computing American options. The discretization error of the Euler scheme for a stochastic differential equation is expressed as a generalized Watanabe distribution on the Wiener space. Insider information is expressed as an infinite-dimensional drift. The last chapter gives an introduction to the same objects in the context of jump processes where incomplete markets appear.
590 _aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700 1 _aThalmaier, Anton.
_eautor
_9327624
710 2 _aSpringerLink (Servicio en línea)
_9299170
776 0 8 _iEdición impresa:
_z9783540434313
856 4 0 _uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/3-540-30799-0
_zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
942 _c14
999 _c294242
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