Pathwise functional lto calculus and its applications to the mathematical finance

Pathwise functional lto calculus and its applications to the mathematical finance

Thesis (M.Sc. (Applied Mathematics)) -- University of Limpopo, 2019 === Functional Itˆo calculus is based on an extension of the classical Itˆo calculus to functionals depending on the entire past evolution of the underlying paths and not only on its current value. The calculus builds on F¨ollmer’...

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Bibliographic Details
Main Author: Nkosi, Siboniso Confrence
Other Authors: Mhlanga, F. J.
Format: Others
Language:en
Published: 2021
Subjects:
Stochastic calculus
Functional calculus
Horizontal derivative
Vertical derivative
Martingale representation
Euler approximation
Path-dependence
Greeks
Functional analysis
Malliavin calculus
Finance > Mathematical models
Online Access:http://hdl.handle.net/10386/3410

Internet

http://hdl.handle.net/10386/3410

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