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· 제목 : Stochastic Calculus of Variations in Mathematical Finance (Hardcover)
· 분류 : 외국도서 > 과학/수학/생태 > 수학 > 응용수학
· ISBN : 9783540434313
· 쪽수 : 142쪽
· 출판일 : 2005-11-03
· 분류 : 외국도서 > 과학/수학/생태 > 수학 > 응용수학
· ISBN : 9783540434313
· 쪽수 : 142쪽
· 출판일 : 2005-11-03
목차
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.
