Malliavin Calculus For L Vy Processes With Applications To Finance
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Malliavin Calculus For L Vy Processes With Applications To Finance
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Author : Giulia Di Nunno
language : en
Publisher: Springer Science & Business Media
Release Date : 2008-10-08
Malliavin Calculus For L Vy Processes With Applications To Finance written by Giulia Di Nunno and has been published by Springer Science & Business Media this book supported file pdf, txt, epub, kindle and other format this book has been release on 2008-10-08 with Mathematics categories.
This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents the development of the theory and its use in new fields of application.
Stochastic Processes And Applications To Mathematical Finance
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Author :
language : en
Publisher: World Scientific
Release Date : 2004
Stochastic Processes And Applications To Mathematical Finance written by and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2004 with Business & Economics categories.
This book contains 17 articles on stochastic processes (stochastic calculus and Malliavin calculus, functionals of Brownian motions and L(r)vy processes, stochastic control and optimization problems, stochastic numerics, and so on) and their applications to problems in mathematical finance.The proceedings have been selected for coverage in: OCo Index to Scientific & Technical Proceedings- (ISTP- / ISI Proceedings)OCo Index to Scientific & Technical Proceedings (ISTP CDROM version / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings- (ISSHP- / ISI Proceedings)OCo Index to Social Sciences & Humanities Proceedings (ISSHP CDROM version / ISI Proceedings)OCo CC Proceedings OCo Engineering & Physical Sciences"
Let Us Use White Noise
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Author : Hida Takeyuki
language : en
Publisher: World Scientific
Release Date : 2017-03-10
Let Us Use White Noise written by Hida Takeyuki and has been published by World Scientific this book supported file pdf, txt, epub, kindle and other format this book has been release on 2017-03-10 with Mathematics categories.
Why should we use white noise analysis? Well, one reason of course is that it fills that earlier gap in the tool kit. As Hida would put it, white noise provides us with a useful set of independent coordinates, parametrized by "time". And there is a feature which makes white noise analysis extremely user-friendly. Typically the physicist — and not only he — sits there with some heuristic ansatz, like e.g. the famous Feynman "integral", wondering whether and how this might make sense mathematically. In many cases the characterization theorem of white noise analysis provides the user with a sweet and easy answer. Feynman's "integral" can now be understood, the "It's all in the vacuum" ansatz of Haag and Coester is now making sense via Dirichlet forms, and so on in many fields of application. There is mathematical finance, there have been applications in biology, and engineering, many more than we could collect in the present volume. Finally, there is one extra benefit: when we internalize the structures of Gaussian white noise analysis we will be ready to meet another close relative. We will enjoy the important similarities and differences which we encounter in the Poisson case, championed in particular by Y Kondratiev and his group. Let us look forward to a companion volume on the uses of Poisson white noise. The present volume is more than a collection of autonomous contributions. The introductory chapter on white noise analysis was made available to the other authors early on for reference and to facilitate conceptual and notational coherence in their work.
Malliavin Calculus In Finance
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Author : Elisa Alòs
language : en
Publisher: Chapman & Hall/CRC
Release Date : 2021
Malliavin Calculus In Finance written by Elisa Alòs and has been published by Chapman & Hall/CRC this book supported file pdf, txt, epub, kindle and other format this book has been release on 2021 with Finance categories.
This book introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on SV modeling.
Stochastic Processes With Applications To Finance
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Author : Masaaki Kijima
language : en
Publisher: CRC Press
Release Date : 2016-04-19
Stochastic Processes With Applications To Finance written by Masaaki Kijima and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2016-04-19 with Business & Economics categories.
Financial engineering has been proven to be a useful tool for risk management, but using the theory in practice requires a thorough understanding of the risks and ethical standards involved. Stochastic Processes with Applications to Finance, Second Edition presents the mathematical theory of financial engineering using only basic mathematical tools
Advanced Financial Modelling
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Author : Hansjörg Albrecher
language : en
Publisher: Walter de Gruyter
Release Date : 2009
Advanced Financial Modelling written by Hansjörg Albrecher and has been published by Walter de Gruyter this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Finance categories.
Annotation This book is a collection of state-of-the-art surveys on various topics in mathematical finance, with an emphasis on recent modelling and computational approaches. The volume is related to a a ~Special Semester on Stochastics with Emphasis on Financea (TM) that took place from September to December 2008 at the Johann Radon Institute for Computational and Applied Mathematics of the Austrian Academy of Sciences in Linz, Austria
Introduction To Malliavin Calculus
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Author : David Nualart
language : en
Publisher: Cambridge University Press
Release Date : 2018-09-27
Introduction To Malliavin Calculus written by David Nualart and has been published by Cambridge University Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2018-09-27 with Business & Economics categories.
A compact introduction to this active and powerful area of research, combining basic theory, core techniques, and recent applications.
Mathematical Modelling And Numerical Methods In Finance
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Author : Alain Bensoussan
language : en
Publisher: Elsevier
Release Date : 2009-06-16
Mathematical Modelling And Numerical Methods In Finance written by Alain Bensoussan and has been published by Elsevier this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009-06-16 with Mathematics categories.
Mathematical finance is a prolific scientific domain in which there exists a particular characteristic of developing both advanced theories and practical techniques simultaneously. Mathematical Modelling and Numerical Methods in Finance addresses the three most important aspects in the field: mathematical models, computational methods, and applications, and provides a solid overview of major new ideas and results in the three domains. Coverage of all aspects of quantitative finance including models, computational methods and applications Provides an overview of new ideas and results Contributors are leaders of the field
Malliavin Calculus And Its Applications
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Author : David Nualart
language : en
Publisher: American Mathematical Soc.
Release Date : 2009
Malliavin Calculus And Its Applications written by David Nualart and has been published by American Mathematical Soc. this book supported file pdf, txt, epub, kindle and other format this book has been release on 2009 with Mathematics categories.
The Malliavin calculus was developed to provide a probabilistic proof of Hormander's hypoellipticity theorem. The theory has expanded to encompass other significant applications. The main application of the Malliavin calculus is to establish the regularity of the probability distribution of functionals of an underlying Gaussian process. In this way, one can prove the existence and smoothness of the density for solutions of various stochastic differential equations. More recently, applications of the Malliavin calculus in areas such as stochastic calculus for fractional Brownian motion, central limit theorems for multiple stochastic integrals, and mathematical finance have emerged. The first part of the book covers the basic results of the Malliavin calculus. The middle part establishes the existence and smoothness results that then lead to the proof of Hormander's hypoellipticity theorem. The last part discusses the recent developments for Brownian motion, central limit theorems, and mathematical finance.
Optional Processes
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Author : Mohamed Abdelghani
language : en
Publisher: CRC Press
Release Date : 2020-06-02
Optional Processes written by Mohamed Abdelghani and has been published by CRC Press this book supported file pdf, txt, epub, kindle and other format this book has been release on 2020-06-02 with Business & Economics categories.
It is well-known that modern stochastic calculus has been exhaustively developed under usual conditions. Despite such a well-developed theory, there is evidence to suggest that these very convenient technical conditions cannot necessarily be fulfilled in real-world applications. Optional Processes: Theory and Applications seeks to delve into the existing theory, new developments and applications of optional processes on "unusual" probability spaces. The development of stochastic calculus of optional processes marks the beginning of a new and more general form of stochastic analysis. This book aims to provide an accessible, comprehensive and up-to-date exposition of optional processes and their numerous properties. Furthermore, the book presents not only current theory of optional processes, but it also contains a spectrum of applications to stochastic differential equations, filtering theory and mathematical finance. Features Suitable for graduate students and researchers in mathematical finance, actuarial science, applied mathematics and related areas Compiles almost all essential results on the calculus of optional processes in unusual probability spaces Contains many advanced analytical results for stochastic differential equations and statistics pertaining to the calculus of optional processes Develops new methods in finance based on optional processes such as a new portfolio theory, defaultable claim pricing mechanism, etc.