An application of the Malliavin calculus in finance

dc.contributor.advisorSwart, Johanen
dc.contributor.emailgfordred@mac.comen
dc.contributor.postgraduateFordred, Gordon Ianen
dc.date.accessioned2013-09-07T02:29:20Z
dc.date.available2009-11-23en
dc.date.available2013-09-07T02:29:20Z
dc.date.created2009-09-02en
dc.date.issued2009-11-23en
dc.date.submitted2009-07-06en
dc.descriptionDissertation (MSc)--University of Pretoria, 2009.en
dc.description.abstractThis 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. Copyrighten
dc.description.availabilityunrestricteden
dc.description.departmentMathematics and Applied Mathematicsen
dc.identifier.citationFordred, 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.otherC212/gmen
dc.identifier.upetdurlhttp://upetd.up.ac.za/thesis/available/etd-07062009-123751/en
dc.identifier.urihttp://hdl.handle.net/2263/26091
dc.language.isoen
dc.publisherUniversity of Pretoriaen_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.subjectGreeksen
dc.subjectStochastic calculus of variationsen
dc.subjectMalliavin calculusen
dc.subjectUCTDen_US
dc.titleAn application of the Malliavin calculus in financeen
dc.typeDissertationen

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