On mathematical finance (Q2717319)
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scientific article; zbMATH DE number 1604866
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On mathematical finance |
scientific article; zbMATH DE number 1604866 |
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6 November 2002
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survey
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Malliavin calculus
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hedges
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option pricing
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partial information
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On mathematical finance (English)
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The author presents a survey of some issues in mathematical finance concentrating mostly on rather practical problems such a modelling and numerical issues. Based on a paper due to \textit{E. Fournié, J. M. Lasry, J. Lebuchaux}, and \textit{N. Touzi} [Finance Stoch. 3, No. 3, 391-412 (1999)] it is outlined in Section III how the Malliavin calculus can be applied in order to obtain efficient Monte-Carlo computations of hedges. Finally, in Section IV, the author outlines a general approach to the issue of option pricing and hedging when only partial information is available.NEWLINENEWLINEFor the entire collection see [Zbl 0953.00026].
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