An application of the Malliavin calculus in finance

Fordred, Gordon Ian

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dc.contributor.advisor	Swart, Johan	en
dc.contributor.postgraduate	Fordred, Gordon Ian	en
dc.date.accessioned	2013-09-07T02:29:20Z
dc.date.available	2009-11-23	en
dc.date.available	2013-09-07T02:29:20Z
dc.date.created	2009-09-02	en
dc.date.issued	2009-11-23	en
dc.date.submitted	2009-07-06	en
dc.description	Dissertation (MSc)--University of Pretoria, 2009.	en
dc.description.abstract	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	en
dc.description.availability	unrestricted	en
dc.description.department	Mathematics and Applied Mathematics	en
dc.identifier.citation	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 >	en
dc.identifier.other	C212/gm	en
dc.identifier.upetdurl	http://upetd.up.ac.za/thesis/available/etd-07062009-123751/	en
dc.identifier.uri	http://hdl.handle.net/2263/26091
dc.language.iso		en
dc.publisher	University of Pretoria	en_ZA
dc.rights	© 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.	en
dc.subject	Greeks	en
dc.subject	Stochastic calculus of variations	en
dc.subject	Malliavin calculus	en
dc.subject	UCTD	en_US
dc.title	An application of the Malliavin calculus in finance	en
dc.type	Dissertation	en