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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 |
