Malliavin Calculus and Its Application in Finance

Wang, Lingling

Please use this identifier to cite or link to this item: http://hdl.handle.net/11375/21110

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DC Field	Value	Language
dc.contributor.advisor	Grasselli, Matheus	-
dc.contributor.author	Wang, Lingling	-
dc.date.accessioned	2017-02-15T15:22:52Z	-
dc.date.available	2017-02-15T15:22:52Z	-
dc.date.issued	2006-08	-
dc.identifier.uri	http://hdl.handle.net/11375/21110	-
dc.description	Page iii not included in the thesis and therefore, not included in the page count.	en_US
dc.description.abstract	<p> In recent years, some efficient methods have been developed for calculating derivative price sensitivities, or the Greeks, using Monte Carlo simulation. However, the slow convergence, especially for discontinuous payoff functions, is well known for Monte Carlo simulation. In this project, we investigate the Malliavin calculus and its application in computation of the Greeks. Malliavin calculus and Wiener Chaos theory are introduced. The theoretical framework of the Malliavin weighted scheme of computation of the Greeks is explored in details, and the numerical implementation of the one-dimensional case and an example of the two-dimensional case are presented. Finally, the results are compared with those of finite difference scheme.</p>	en_US
dc.language.iso	en_US	en_US
dc.subject	Malliavin Calculus, application in finance, Monte Carlo simulation, Wiener Chaos theory	en_US
dc.title	Malliavin Calculus and Its Application in Finance	en_US
dc.type	Thesis	en_US
dc.contributor.department	Mathematics	en_US
dc.description.degreetype	Thesis	en_US
dc.description.degree	Master of Science (MSc)	en_US
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