Document Type Master's Dissertation Author Fordred, Gordon Ian email@example.com URN etd-07062009-123751 Document Title An application of the Malliavin calculus in finance Degree MSc Department Mathematics and Applied Mathematics Supervisor
Advisor Name Title Prof J Swart Supervisor Keywords
- stochastic calculus of variations
- Malliavin calculus
Date 2009-09-02 Availability unrestricted 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.
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Please cite as follows:
Fordred, GI 2009, An application of the Malliavin calculus in finnace, MSc dissertation, University of Pretoria, Pretoria, viewed yymmdd < http://upetd.up.ac.za/thesis/available/etd-07062009-123751/ >
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