tailieunhanh - Stochastic Calculus of Variations in Mathematical Finance

Stochastic Calculus of Variations (or Malliavin Calculus) consists, in brief, in constructing and exploiting natural differentiable structures on abstract probability spaces; in other words, Stochastic Calculus of Variations proceeds from a merging of differential calculus and probability theory. As optimization under a random environment is at the heart of mathematical finance, and as differential calculus is of paramount importance for the search of extrema, it is not surprising that Stochastic Calculus of Variations appears in mathematical finance. The computation of price sensitivities (or Greeks) obviously belongs to the realm of differential calculus. | Springer Finance Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie . Davis E. Derman C. Kluppelberg E. Kopp W. Schachermayer Springer Finance Springer Finance is a programme of books aimed at students academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics not only mathematical finance but foreign exchanges term structure risk management portfolio theory equity derivatives and financial economics. Ammann M. Credit Risk Valuation Methods Models and Application 2001 Back K. A Course in Derivative Securities Introduction to Theory and Computation 2005 Barucci E. Financial Markets Theory. Equilibrium Efficiency and Information 2003 Bielecki . and Rutkowski M. Credit Risk Modeling Valuation and Hedging 2002 Bingham . and Kiesel R. Risk-Neutral Valuation Pricing and Hedging of Financial Derivatives 1998 2nd ed. 2004 Brigo D. and Mercurio F. Interest Rate Models Theory and Practice 2001 BuffR. Uncertain Volatility Models-Theory and Application 2002 Dana . and Jeanblanc M. Financial Markets in Continuous Time 2002 Deboeck G. and Kohonen T. Editors Visual Explorations in Finance with Self-Organizing Maps 1998 Elliott . and Kopp . Mathematics of Financial Markets 1999 2nd ed. 2005 Fengler M. Semiparametric Modeling of Implied Volatility 2005 Geman H. Madan D. Pliska . and Vorst T. Editors Mathematical Finance-Bachelier Congress 2000 2001 Gundlach M. Lehrbass F. Editors CreditRisk in the Banking Industry 2004 Kellerhals . Asset Pricing 2004 Kulpmann M. Irrational Exuberance Reconsidered 2004 Kwok . Mathematical Models of Financial Derivatives 1998 Malliavin P. and Thalmaier A. Stochastic Calculus of Variations in Mathematical Finance 2005 Meucci A. Risk and Asset Allocation 2005 PelsserA. Efficient Methods for Valuing Interest Rate Derivatives 2000 Prigent . Weak Convergence of Financial Markets 2003 Schmid B. Credit Risk Pricing Models 2004 .

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