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Functional Itô calculus - MaRDI portal

Functional Itô calculus (Q5234333)

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scientific article; zbMATH DE number 7110457
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English
Functional Itô calculus
scientific article; zbMATH DE number 7110457

    Statements

    title
    Functional Itô calculus (English)
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    author
    Bruno Dupire
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    publication date
    26 September 2019
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    zbMATH Keywords
    path dependent functionals and options
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    functional Itô and Feynman-Kac formulae
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    Martingale representation
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    functional PDE
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    delta hedging
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    model impact
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    submartingale bounds
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    35Q91
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    60G48
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    zbMATH DE Number
    7110457
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    OpenAlex ID
    W3124086936
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