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Stochastic Calculus of Variations in Mathematical Finance
Stochastic Calculus of Variations in Mathematical Finance By Paul Malliavin, Anton Thalmaier
2005 | 147 Pages | ISBN: 3540434313 | PDF | 1 MB
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. Weak convergence of numerical integration of SDE is interpreted as a functional belonging to a Sobolev space of negative order. 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.
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