Catálogo Stochastic calculus of variations in mathematical finance / Paul Malliavin, Anton Thalmaier.
Tipo de material:
TextoIdioma: Inglés Series Springer financeNew York, NY : Springer, 2010Descripción: xi, 142 p. : ill. ; 24 cmISBN: 9783642077838Tema(s): Finanzas -- MODELOS MATEMATICOS | Procesos estocásticosClasificación CDD: 332.0151
Contenidos:
Gaussian stochstic calculus of variations. Computation of greeks and integration by parts formulae. Market equilibrium and price-volatility feedback rate. Multivariate conditioning and regularity of law. Indiser trading. Asymptotic expansion and weak convergence. Volatility estimation by fourier expansion. Munerical implementation of the price-volatility feedback rate.
| Tipo de ítem | Biblioteca actual | Signatura | Copia número | Estado | Fecha de vencimiento | Código de barras |
|---|---|---|---|---|---|---|
Libros General
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Biblioteca General Primer Piso - Sala General | 332.0151 M254S (Navegar estantería(Abre debajo)) | Ej. 1 | Disponible (Acceso Disponible) | 39983002223746 |
Includes bibliographical references and index.
Gaussian stochstic calculus of variations. Computation of greeks and integration by parts formulae. Market equilibrium and price-volatility feedback rate. Multivariate conditioning and regularity of law. Indiser trading. Asymptotic expansion and weak convergence. Volatility estimation by fourier expansion. Munerical implementation of the price-volatility feedback rate.
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