Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (SpringerBriefs in Statistics) - Softcover
Synopsis
Focuses on the resemblance between Bernoulli random variable and Brownian motion, a similarity providing deep insights into stochastic analysis
Introduces a spectral binomial tree method, a new methodology for pricing barrier options, which allows the price of barrier options to be computed much more quickly
Introduces the discrete Malliavin calculus, a new method for evaluating the sensitivity of options
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About the Author
Yoshifumi Muroi, Graduate School of Economics and Management, Tohoku University
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
Seller: Hamelyn, Madrid, M, Spain
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Condition: Muy bueno. : Este libro explora el cálculo de las 'Griegas' utilizando el cálculo de Malliavin discreto y el árbol binomial. Publicado por Springer en 2022, el libro está escrito en inglés y consta de 106 páginas. El autor principal es Yoshifumi Muroi. EAN: 9789811910722 Tipo: Libros Categoría: Otros Título: Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree Autor: Yoshifumi Muroi Idioma: en Páginas: 106. Seller Inventory # Happ-2026-03-24-5a118005
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (Paperback)
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Springer Verlag, Singapore, Singapore, 2022
ISBN 10: 9811910723
ISBN 13: 9789811910722
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Paperback. Condition: new. Paperback. This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters. The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership. This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. Shipping may be from multiple locations in the US or from the UK, depending on stock availability. Seller Inventory # 9789811910722
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (JSS Research Series in Statistics)
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (JSS Research Series in Statistics)
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (JSS Research Series in Statistics)
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree
Published by
Springer Nature Singapore Apr 2022, 2022
ISBN 10: 9811910723
ISBN 13: 9789811910722
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Seller: BuchWeltWeit Ludwig Meier e.K., Bergisch Gladbach, Germany
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Taschenbuch. Condition: Neu. This item is printed on demand - it takes 3-4 days longer - Neuware -This book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks.The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters. The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership. 116 pp. Englisch. Seller Inventory # 9789811910722
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Computation Of Greeks Using The Discrete
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Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree (JSS Research Series in Statistics)
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