{"product_id":"stochastic-calculus-of-variations-in-paul-malliavin-9783642077838","title":"Stochastic Calculus of Variations in Mathematical Finance","description":"\u003cp\u003eThis extensive and up-to-date text demonstrates the relevance of Malliavin calculus for Mathematical Finance. It 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. 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.\u003c\/p\u003e\u003cbr\u003e\u003cbr\u003e\u003cb\u003eAuthor:\u003c\/b\u003e Paul Malliavin, Anton Thalmaier\u003cbr\u003e\u003cb\u003eISBN-10:\u003c\/b\u003e 3642077838\u003cbr\u003e\u003cb\u003eISBN-13:\u003c\/b\u003e 9783642077838\u003cbr\u003e\u003cb\u003ePublisher:\u003c\/b\u003e Springer\u003cbr\u003e\u003cb\u003eLanguage:\u003c\/b\u003e English\u003cbr\u003e\u003cb\u003ePublished:\u003c\/b\u003e 11\/30\/2010\u003cbr\u003e\u003cb\u003ePages:\u003c\/b\u003e 142\u003cbr\u003e\u003cb\u003eFormat:\u003c\/b\u003e Paperback\u003cbr\u003e\u003cb\u003eWeight:\u003c\/b\u003e 0.50lbs\u003cbr\u003e\u003cb\u003eSize:\u003c\/b\u003e 9.21h x 6.14w x 0.33d","brand":"Paul Malliavin","offers":[{"title":"Paperback","offer_id":43940817273087,"sku":"9783642077838","price":54.99,"currency_code":"USD","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0662\/2982\/9887\/products\/img_474e2692-4b7c-4745-971f-0f0053d8d139.jpg?v=1681449343","url":"https:\/\/www.whiterainbookhouse.com\/products\/stochastic-calculus-of-variations-in-paul-malliavin-9783642077838","provider":"WR Book House","version":"1.0","type":"link"}