000 -LEADER |
fixed length control field |
03072nam a22004935i 4500 |
001 - CONTROL NUMBER |
control field |
978-3-540-30799-0 |
003 - CONTROL NUMBER IDENTIFIER |
control field |
DE-He213 |
005 - DATE AND TIME OF LATEST TRANSACTION |
control field |
20161121231032.0 |
007 - PHYSICAL DESCRIPTION FIXED FIELD--GENERAL INFORMATION |
fixed length control field |
cr nn 008mamaa |
008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION |
fixed length control field |
100301s2006 gw | s |||| 0|eng d |
020 ## - INTERNATIONAL STANDARD BOOK NUMBER |
International Standard Book Number |
9783540307990 |
-- |
978-3-540-30799-0 |
024 7# - OTHER STANDARD IDENTIFIER |
Standard number or code |
10.1007/3-540-30799-0 |
Source of number or code |
doi |
050 #4 - LIBRARY OF CONGRESS CALL NUMBER |
Classification number |
HJ9-9940 |
072 #7 - SUBJECT CATEGORY CODE |
Subject category code |
KFFD |
Source |
bicssc |
072 #7 - SUBJECT CATEGORY CODE |
Subject category code |
BUS051000 |
Source |
bisacsh |
082 04 - DEWEY DECIMAL CLASSIFICATION NUMBER |
Classification number |
336 |
Edition number |
23 |
100 1# - MAIN ENTRY--PERSONAL NAME |
Personal name |
Malliavin, Paul. |
Relator term |
author. |
245 10 - TITLE STATEMENT |
Title |
Stochastic Calculus of Variations in Mathematical Finance |
Medium |
[electronic resource] / |
Statement of responsibility, etc. |
by Paul Malliavin, Anton Thalmaier. |
264 #1 - PRODUCTION, PUBLICATION, DISTRIBUTION, MANUFACTURE, AND COPYRIGHT NOTICE |
Place of production, publication, distribution, manufacture |
Berlin, Heidelberg : |
Name of producer, publisher, distributor, manufacturer |
Springer Berlin Heidelberg, |
Date of production, publication, distribution, manufacture, or copyright notice |
2006. |
300 ## - PHYSICAL DESCRIPTION |
Extent |
XII, 142 p. |
Other physical details |
online resource. |
336 ## - CONTENT TYPE |
Content type term |
text |
Content type code |
txt |
Source |
rdacontent |
337 ## - MEDIA TYPE |
Media type term |
computer |
Media type code |
c |
Source |
rdamedia |
338 ## - CARRIER TYPE |
Carrier type term |
online resource |
Carrier type code |
cr |
Source |
rdacarrier |
347 ## - DIGITAL FILE CHARACTERISTICS |
File type |
text file |
Encoding format |
PDF |
Source |
rda |
490 1# - SERIES STATEMENT |
Series statement |
Springer Finance |
505 0# - FORMATTED CONTENTS NOTE |
Formatted contents note |
Gaussian 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 ## - SUMMARY, ETC. |
Summary, etc. |
Malliavin 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. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name entry element |
Mathematical analysis. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name entry element |
Analysis (Mathematics). |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name entry element |
Economics, Mathematical. |
650 #0 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name entry element |
Public finance. |
650 14 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name entry element |
Economics. |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name entry element |
Public Economics. |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name entry element |
Quantitative Finance. |
650 24 - SUBJECT ADDED ENTRY--TOPICAL TERM |
Topical term or geographic name entry element |
Analysis. |
700 1# - ADDED ENTRY--PERSONAL NAME |
Personal name |
Thalmaier, Anton. |
Relator term |
author. |
710 2# - ADDED ENTRY--CORPORATE NAME |
Corporate name or jurisdiction name as entry element |
SpringerLink (Online service) |
773 0# - HOST ITEM ENTRY |
Title |
Springer eBooks |
776 08 - ADDITIONAL PHYSICAL FORM ENTRY |
Relationship information |
Printed edition: |
International Standard Book Number |
9783540434313 |
830 #0 - SERIES ADDED ENTRY--UNIFORM TITLE |
Uniform title |
Springer Finance |
856 40 - ELECTRONIC LOCATION AND ACCESS |
Uniform Resource Identifier |
http://dx.doi.org/10.1007/3-540-30799-0 |
912 ## - |
-- |
ZDB-2-SMA |