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001446068 001__ 1446068
001446068 003__ OCoLC
001446068 005__ 20230310003936.0
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001446068 019__ $$a1311570678$$a1311953285
001446068 020__ $$a9789811910739$$q(electronic bk.)
001446068 020__ $$a9811910731$$q(electronic bk.)
001446068 020__ $$z9811910723
001446068 020__ $$z9789811910722
001446068 0247_ $$a10.1007/978-981-19-1073-9$$2doi
001446068 035__ $$aSP(OCoLC)1311966946
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001446068 049__ $$aISEA
001446068 050_4 $$aQA274.2
001446068 08204 $$a519.2/2$$223/eng/20220422
001446068 1001_ $$aMuroi, Yoshifumi.
001446068 24510 $$aComputation of Greeks using the discrete Malliavian calculus and binomial tree /$$cYoshifumi Muroi.
001446068 264_1 $$aSingapore :$$bSpringer,$$c2022.
001446068 300__ $$a1 online resource (1 volume) :$$billustrations (black and white).
001446068 336__ $$atext$$btxt$$2rdacontent
001446068 337__ $$acomputer$$bc$$2rdamedia
001446068 338__ $$aonline resource$$bcr$$2rdacarrier
001446068 4901_ $$aSpringerBriefs in statistics. JSS research series in statistics
001446068 504__ $$aIncludes bibliographical references and index.
001446068 5050_ $$aIntroduction -- Single-Period Model -- Multiple Time Model -- Application to Finance -- Spectral Binomial Tree -- Short Introduction to Malliavin Calculus in Continuous Time Model -- Discrete Malliavin Greeks.
001446068 506__ $$aAccess limited to authorized users.
001446068 520__ $$aThis book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks. The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters. The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership.
001446068 588__ $$aDescription based on print version record.
001446068 650_0 $$aMalliavin calculus.
001446068 650_0 $$aEquations, Binomial.
001446068 650_0 $$aDerivative securities$$xMathematics.
001446068 650_6 $$aCalcul de Malliavin.
001446068 650_6 $$aInstruments dérivés (Finances)$$xMathématiques.
001446068 655_0 $$aElectronic books.
001446068 77608 $$iPrint version:$$aMUROI, YOSHIFUMI.$$tCOMPUTATION OF GREEKS USING THE DISCRETE MALLIAVIN CALCULUS AND BINOMIAL TREE.$$d[Place of publication not identified] : SPRINGER VERLAG, SINGAPOR, 2022$$z9811910723$$w(OCoLC)1296532136
001446068 830_0 $$aSpringerBriefs in statistics.$$pJSS research series in statistics.
001446068 852__ $$bebk
001446068 85640 $$3Springer Nature$$uhttps://univsouthin.idm.oclc.org/login?url=https://link.springer.com/10.1007/978-981-19-1073-9$$zOnline Access$$91397441.1
001446068 909CO $$ooai:library.usi.edu:1446068$$pGLOBAL_SET
001446068 980__ $$aBIB
001446068 980__ $$aEBOOK
001446068 982__ $$aEbook
001446068 983__ $$aOnline
001446068 994__ $$a92$$bISE