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/ > C212/gm
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