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Computation of Greeks using Malliavin calculus: Malliavin calculus for both continuous and jump processes and Greeks in finance - Brossura
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An Important aspect of Mathematical Finance is the pricing of stocks and other assets. Mathematical techniques using stochastic differential equations were developed in the 1970's that led to a breakthrough in the field and enabled the provision of insurance against loss and the provision of a degree of certainty in financial transactions that was unavailable previously. The pricing of assets changes as initial prices, volatility, interest rates and time to maturity change, and there are important other quantities which have an influence on prices. To guard against loss it is essential to know precisely how prices change as these quantities vary. Unfortunately, stochastic and other complexities make this difficult to do. A method of calculation known as the Malliavin calculus has been used in many papers to provide methods for such calculations. This monograph provides a comprehensive outline of the relevant portions of the calculus and its applications to finance, as well as of several important extensions, and uses it to obtain new results which will assist in this much used analysis.
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L'autore
Farai Julius Mhlanga was educated in Zimbabwe where he obtained an MSc degree in Mathematics at the University of Zimbabwe and then registered for his doctoral studies at the University of Cape Town, in the field of Mathematical Finance. Currently Farai is lecturing at the University of Zululand in South Africa.
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- EditoreLAP LAMBERT Academic Publishing
- Data di pubblicazione2011
- ISBN 10 3846515590
- ISBN 13 9783846515594
- RilegaturaCopertina flessibile
- LinguaInglese
- Numero di pagine200
- Contatto del produttorenon disponibile
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Computation of Greeks using Malliavin calculus
Editore:
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3846515590
ISBN 13: 9783846515594
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Da: moluna, Greven, Germania
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Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Autor/Autorin: Mhlanga Farai JuliusFarai Julius Mhlanga was educated in Zimbabwe where he obtained an MSc degree in Mathematics at the University of Zimbabwe and then registered for his doctoral studies at the University of Cape Town, in the field . Codice articolo 5495996
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Computation of Greeks using Malliavin calculus
Editore:
LAP LAMBERT Academic Publishing Sep 2011, 2011
ISBN 10: 3846515590
ISBN 13: 9783846515594
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Da: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germania
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -An Important aspect of Mathematical Finance is the pricing of stocks and other assets. Mathematical techniques using stochastic differential equations were developed in the 1970's that led to a breakthrough in the field and enabled the provision of insurance against loss and the provision of a degree of certainty in financial transactions that was unavailable previously. The pricing of assets changes as initial prices, volatility, interest rates and time to maturity change, and there are important other quantities which have an influence on prices. To guard against loss it is essential to know precisely how prices change as these quantities vary. Unfortunately, stochastic and other complexities make this difficult to do. A method of calculation known as the Malliavin calculus has been used in many papers to provide methods for such calculations. This monograph provides a comprehensive outline of the relevant portions of the calculus and its applications to finance, as well as of several important extensions, and uses it to obtain new results which will assist in this much used analysis. 200 pp. Englisch. Codice articolo 9783846515594
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Computation of Greeks using Malliavin calculus : Malliavin calculus for both continuous and jump processes and Greeks in finance
Editore:
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3846515590
ISBN 13: 9783846515594
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Taschenbuch
Da: AHA-BUCH GmbH, Einbeck, Germania
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Taschenbuch. Condizione: Neu. nach der Bestellung gedruckt Neuware - Printed after ordering - An Important aspect of Mathematical Finance is the pricing of stocks and other assets. Mathematical techniques using stochastic differential equations were developed in the 1970's that led to a breakthrough in the field and enabled the provision of insurance against loss and the provision of a degree of certainty in financial transactions that was unavailable previously. The pricing of assets changes as initial prices, volatility, interest rates and time to maturity change, and there are important other quantities which have an influence on prices. To guard against loss it is essential to know precisely how prices change as these quantities vary. Unfortunately, stochastic and other complexities make this difficult to do. A method of calculation known as the Malliavin calculus has been used in many papers to provide methods for such calculations. This monograph provides a comprehensive outline of the relevant portions of the calculus and its applications to finance, as well as of several important extensions, and uses it to obtain new results which will assist in this much used analysis. Codice articolo 9783846515594
Quantità: 1 disponibili
Immagini fornite dal venditore
Computation of Greeks using Malliavin calculus
Editore:
LAP LAMBERT Academic Publishing Sep 2011, 2011
ISBN 10: 3846515590
ISBN 13: 9783846515594
Nuovo
Taschenbuch
Da: buchversandmimpf2000, Emtmannsberg, BAYE, Germania
Valutazione del venditore 5 su 5 stelle
Taschenbuch. Condizione: Neu. Neuware -An Important aspect of Mathematical Finance is the pricing of stocks and other assets. Mathematical techniques using stochastic differential equations were developed in the 1970's that led to a breakthrough in the field and enabled the provision of insurance against loss and the provision of a degree of certainty in financial transactions that was unavailable previously. The pricing of assets changes as initial prices, volatility, interest rates and time to maturity change, and there are important other quantities which have an influence on prices. To guard against loss it is essential to know precisely how prices change as these quantities vary. Unfortunately, stochastic and other complexities make this difficult to do. A method of calculation known as the Malliavin calculus has been used in many papers to provide methods for such calculations. This monograph provides a comprehensive outline of the relevant portions of the calculus and its applications to finance, as well as of several important extensions, and uses it to obtain new results which will assist in this much used analysis.Books on Demand GmbH, Überseering 33, 22297 Hamburg 200 pp. Englisch. Codice articolo 9783846515594
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Computation of Greeks using Malliavin calculus: Malliavin calculus for both continuous and jump processes and Greeks in finance
Editore:
LAP LAMBERT Academic Publishing, 2011
ISBN 10: 3846515590
ISBN 13: 9783846515594
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Da: Mispah books, Redhill, SURRE, Regno Unito
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Paperback. Condizione: Like New. Like New. book. Codice articolo ERICA79638465155906
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