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STOCHASTIC CALCULUS OF VARIATIONS IN MATHEMATICAL FINANCE IBD

SPRINGER
11 / 2010
9783642077838
Inglés

Sinopsis

Gaussian Stochastic Calculus of Variations.- Pathwise propagation of Greeks in complete elliptic markets.- Market equilibrium and price-volatility feedback rate.-Multivariate conditioning and regularity of laws.- Non-elliptic markets and instability in HJM models.- Insider trading.- Rates of weak convergence and distribution theory on Gaussian spaces.-Fourier series method for the measurement of historical volatilities.

PVP
146,85