Malliavin calculus in abstract Wiener space using infinitesimals

نویسندگان

چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

Malliavin Greeks without Malliavin Calculus

We derive and analyze Monte Carlo estimators of price sensitivities (“Greeks”) for contingent claims priced in a diffusion model. There have traditionally been two categories of methods for estimating sensitivities: methods that differentiate paths and methods that differentiate densities. A more recent line of work derives estimators through Malliavin calculus. The purpose of this article is t...

متن کامل

Malliavin Calculus in Finance

This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index.

متن کامل

Teaching Calculus with Infinitesimals

Synopsis This article argues that first semester calculus courses for non-mathematics majors should be taught using infinitesimals. This applies to both high school and undergraduate calculus courses. The use of infinitesimals in calculus, though more intuitive than the approach developed in the 19 th century, has been controversial for over two millennia. However, in the 20 th century their us...

متن کامل

Application of Malliavin calculus and analysis on Wiener space to long-memory parameter estimation for non-Gaussian processes

Using multiple Wiener-Itô stochastic integrals and Malliavin calculus we study the rescaled quadratic variations of a general Hermite process of order q with long-memory (Hurst) parameter H 2 ( 1 2 ; 1). We apply our results to the construction of a strongly consistent estimator for H. It is shown that the estimator is asymptotically non-normal, and converges in the mean-square, after normaliza...

متن کامل

The Malliavin Calculus

Acknowledgements I enjoyed the help and support from numerous friends and faculty members during whilst writing this thesis. My greatest debt however, goes to my supervisor, Professor Tony Dooley, who initiated me to the fantastic field of Malliavin calculus. With his incredible breadth and depth of knowledge and intuition, he guided me to structure and clarify my thought and suggested valuable...

متن کامل

ذخیره در منابع من


  با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید

ژورنال

عنوان ژورنال: Advances in Mathematics

سال: 2003

ISSN: 0001-8708

DOI: 10.1016/s0001-8708(02)00033-6