Stochastic Calculus of Variations in Mathematical Finance
Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths stochastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probabili
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Editorial Board M. Avellaneda G. Barone-Adesi M. Broadie M.H.A. Davis E. Derman C. Klüppelberg E. Kopp W. Schachermayer
Springer Finance Springer Finance is a programme of books aimed at students, academics and practitioners working on increasingly technical approaches to the analysis of financial markets. It aims to cover a variety of topics, not only mathematical finance but foreign exchanges, term structure, risk management, portfolio theory, equity derivatives, and financial economics.
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Paul Malliavin Anton Thalmaier
Stochastic Calculus of Variations in Mathematical Finance
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Paul Malliavin
Anton Thalmaier
Académie des Sciences Institut de France E-mail: [email protected]
Département de Mathématiques Université de Poitiers E-mail: [email protected]
Mathematics Subject Classification (2000): 60H30, 60H07, 60G44, 62P20, 91B24
Library of Congress Control Number: 2005930379 ISBN-10 3-540-43431-3 Springer Berlin Heidelberg New York ISBN-13 978-3-540-43431-3 Springer Berlin Heidelberg Ne
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