An application of Malliavin calculus to hedging exotic barrier options

An application of Malliavin calculus to hedging exotic barrier options

The thesis uses Malliavin’s Stochastic Calculus of Variations to identify the hedging strategies for Barrier style derived securities. The thesis gives an elementary treatment of this calculus which should be accessible to the non-specialist. The thesis deals also with extensions of the calculus to...

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Bibliographic Details
Main Author: Li, Hongyun
Other Authors: Barnett, Chris
Published: Imperial College London 2011
Subjects:
332
Online Access:http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537198
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spelling ndltd-bl.uk-oai-ethos.bl.uk-5371982017-08-30T03:18:09ZAn application of Malliavin calculus to hedging exotic barrier optionsLi, HongyunBarnett, Chris2011The thesis uses Malliavin’s Stochastic Calculus of Variations to identify the hedging strategies for Barrier style derived securities. The thesis gives an elementary treatment of this calculus which should be accessible to the non-specialist. The thesis deals also with extensions of the calculus to the composition of a Generalized Function and a Stochastic Variable which makes it applicable to the discontinuous payoffs encountered with Barrier Structures. The thesis makes a mathematical contribution by providing an elementary calculus for the composition of a Generalized function with a Stochastic Variable in the presence of a conditional expectation.332Imperial College Londonhttp://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537198http://hdl.handle.net/10044/1/6950Electronic Thesis or Dissertation
collection NDLTD
sources NDLTD
topic 332
spellingShingle 332
Li, Hongyun
An application of Malliavin calculus to hedging exotic barrier options
description The thesis uses Malliavin’s Stochastic Calculus of Variations to identify the hedging strategies for Barrier style derived securities. The thesis gives an elementary treatment of this calculus which should be accessible to the non-specialist. The thesis deals also with extensions of the calculus to the composition of a Generalized Function and a Stochastic Variable which makes it applicable to the discontinuous payoffs encountered with Barrier Structures. The thesis makes a mathematical contribution by providing an elementary calculus for the composition of a Generalized function with a Stochastic Variable in the presence of a conditional expectation.
author2 Barnett, Chris
author_facet Barnett, Chris
Li, Hongyun
author Li, Hongyun
author_sort Li, Hongyun
title An application of Malliavin calculus to hedging exotic barrier options
title_short An application of Malliavin calculus to hedging exotic barrier options
title_full An application of Malliavin calculus to hedging exotic barrier options
title_fullStr An application of Malliavin calculus to hedging exotic barrier options
title_full_unstemmed An application of Malliavin calculus to hedging exotic barrier options
title_sort application of malliavin calculus to hedging exotic barrier options
publisher Imperial College London
publishDate 2011
url http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537198
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