Title page for ETD etd-07062009-123751


Document Type Master's Dissertation
Author Fordred, Gordon Ian
Email gfordred@mac.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
  • Greeks
  • 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.

Copyright 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.

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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