Full Text Available
Note: Clicking the button above will open the full text document at the original institutional repository in a new window.
An application of the Malliavin calculus in finance
Dissertation (MSc)--University of Pretoria, 2009.
Saved in:
| Other Authors: | |
|---|---|
| Format: | Thesis |
| Published: |
University of Pretoria
2013
|
| Subjects: | |
| Tags: |
No Tags, Be the first to tag this record!
|
| _version_ | 1867613532932014080 |
|---|---|
| access_status_str | Open Access |
| author2 | Swart, Johan |
| author_browse | Swart, Johan |
| author_facet | Swart, Johan |
| collection | Thesis |
| dc_rights_str_mv | © 2009, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. |
| description | Dissertation (MSc)--University of Pretoria, 2009. |
| format | Thesis |
| id | oai:repository.up.ac.za:2263/26091 |
| institution | University of Pretoria (South Africa) |
| last_indexed | 2026-06-10T12:37:39.235Z |
| license_str | Other — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UPSpace — University of Pretoria Institutional Repository |
| publishDate | 2013 |
| publishDateRange | 2013 |
| publishDateSort | 2013 |
| publisher | University of Pretoria |
| publisherStr | University of Pretoria |
| record_format | dspace |
| source_str | UPSpace — University of Pretoria Institutional Repository |
| spelling | oai:repository.up.ac.za:2263/26091 An application of the Malliavin calculus in finance Swart, Johan gfordred@mac.com Fordred, Gordon Ian Greeks Stochastic calculus of variations Malliavin calculus UCTD Dissertation (MSc)--University of Pretoria, 2009. This dissertation provides a brief theoretical introduction to the Malliavin calculus leading to a particular application in finance. The Malliavin calculus concepts are used to aid in the simulation of the Greeks for financial contingent claims. Particular focus is placed on creating efficiency in the more exotic type option simulations, where no closed solution pricing formulae exist. Copyright Mathematics and Applied Mathematics unrestricted 2013-09-07T02:29:20Z 2009-11-23 2013-09-07T02:29:20Z 2009-09-02 2009-11-23 2009-07-06 Dissertation Fordred, GI 2009, An application of the Malliavin calculus in finnace, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://hdl.handle.net/2263/26091 > C212/gm http://hdl.handle.net/2263/26091 http://upetd.up.ac.za/thesis/available/etd-07062009-123751/ © 2009, University of Pretoria. All rights reserved. The copyright in this work vests in the University of Pretoria. No part of this work may be reproduced or transmitted in any form or by any means, without the prior written permission of the University of Pretoria. application/pdf University of Pretoria |
| spellingShingle | Greeks Stochastic calculus of variations Malliavin calculus UCTD An application of the Malliavin calculus in finance |
| title | An application of the Malliavin calculus in finance |
| title_full | An application of the Malliavin calculus in finance |
| title_fullStr | An application of the Malliavin calculus in finance |
| title_full_unstemmed | An application of the Malliavin calculus in finance |
| title_short | An application of the Malliavin calculus in finance |
| title_sort | application of the malliavin calculus in finance |
| topic | Greeks Stochastic calculus of variations Malliavin calculus UCTD |
| url | http://hdl.handle.net/2263/26091 http://upetd.up.ac.za/thesis/available/etd-07062009-123751/ |