Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
Muroi, Yoshifumi (Author)
ISBN 10: 9811910723 ISBN 13: 9789811910722
Editore: Springer, 2022
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114 pages. 9.25x6.10x0.39 inches. In Stock. This item is printed on demand. Codice articolo __9811910723
Riassunto:
Focuses on the resemblance between Bernoulli random variable and Brownian motion, a similarity providing deep insights into stochastic analysis
Introduces a spectral binomial tree method, a new methodology for pricing barrier options, which allows the price of barrier options to be computed much more quickly
Introduces the discrete Malliavin calculus, a new method for evaluating the sensitivity of options
Informazioni sull?autore: Yoshifumi Muroi, Graduate School of Economics and Management, Tohoku University
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Titolo: Computation of Greeks Using the Discrete ...
Casa editrice: Springer
Data di pubblicazione: 2022
Legatura: Paperback
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
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Springer Nature Singapore, 2022
ISBN 10: 9811910723
ISBN 13: 9789811910722
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Condizione: Hervorragend. Zustand: Hervorragend | Sprache: Englisch | Produktart: Bücher | This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters. The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership. Codice articolo 38652190/1
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
Editore:
Springer Nature Singapore, 2022
ISBN 10: 9811910723
ISBN 13: 9789811910722
Antico o usato
Brossura
Da: Buchpark, Trebbin, Germania
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Condizione: Sehr gut. Zustand: Sehr gut | Sprache: Englisch | Produktart: Bücher | This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters. The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership. Codice articolo 38652190/2
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
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Springer, Berlin|Springer Nature Singapore|Springer, 2022
ISBN 10: 9811910723
ISBN 13: 9789811910722
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Kartoniert / Broschiert. Condizione: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree . Codice articolo 562705039
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
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Taschenbuch. Condizione: Neu. Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree | Yoshifumi Muroi | Taschenbuch | viii | Englisch | 2022 | Springer Singapore | EAN 9789811910722 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu Print on Demand. Codice articolo 121191085
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (JSS Research Series in Statistics)
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
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Springer Nature Singapore Apr 2022, 2022
ISBN 10: 9811910723
ISBN 13: 9789811910722
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Taschenbuch. Condizione: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters. The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership. 116 pp. Englisch. Codice articolo 9789811910722
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
ISBN 10: 9811910723
ISBN 13: 9789811910722
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Taschenbuch. Condizione: Neu. Neuware -This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters.The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership.Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg 116 pp. Englisch. Codice articolo 9789811910722
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (Paperback)
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Springer Verlag, Singapore, Singapore, 2022
ISBN 10: 9811910723
ISBN 13: 9789811910722
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Paperback. Condizione: new. Paperback. This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters. The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership. This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Codice articolo 9789811910722
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PF. Condizione: New. Codice articolo 6666-IUK-9789811910722
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