Analysis, Geometry, and Modeling in Finance
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Publication:3529416
DOI10.1201/9781420087000zbMath1151.91006OpenAlexW4243551594MaRDI QIDQ3529416
Publication date: 9 October 2008
Full work available at URL: https://doi.org/10.1201/9781420087000
Malliavin calculusoption pricingMonte Carlo methodsportfolio optimizationheat kernel expansionBlack-Scholes equationlocal and stochastic volatility modelsdynamics of the implied volatility
Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic analysis (60Hxx) Actuarial science and mathematical finance (91Gxx) Global differential geometry (53Cxx)
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