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You searched for subject:(Malliavin calculus). Showing records 1 – 23 of 23 total matches.

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Cornell University

1. Kirac, Yusuf. Hedging In Levy Markets .

Degree: 2014, Cornell University

 This dissertation examines the hedging process in L´ vy markets. It consists of e three self-contained chapters. In Chapter 1, we study some results from… (more)

Subjects/Keywords: Malliavin calculus; Levy processes; Hedging

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APA (6th Edition):

Kirac, Y. (2014). Hedging In Levy Markets . (Thesis). Cornell University. Retrieved from http://hdl.handle.net/1813/37149

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kirac, Yusuf. “Hedging In Levy Markets .” 2014. Thesis, Cornell University. Accessed October 18, 2017. http://hdl.handle.net/1813/37149.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kirac, Yusuf. “Hedging In Levy Markets .” 2014. Web. 18 Oct 2017.

Vancouver:

Kirac Y. Hedging In Levy Markets . [Internet] [Thesis]. Cornell University; 2014. [cited 2017 Oct 18]. Available from: http://hdl.handle.net/1813/37149.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kirac Y. Hedging In Levy Markets . [Thesis]. Cornell University; 2014. Available from: http://hdl.handle.net/1813/37149

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Kansas

2. Pavlenko, Oleksandr. Computation of Greeks Using Malliavin Calculus.

Degree: MA, Mathematics, 2015, University of Kansas

 The objective of this paper is to explore application of Malliavin calculus techniques to the problem of estimating greeks of financial derivative contracts. In the… (more)

Subjects/Keywords: Mathematics; greeks; Malliavin calculus

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APA (6th Edition):

Pavlenko, O. (2015). Computation of Greeks Using Malliavin Calculus. (Masters Thesis). University of Kansas. Retrieved from http://hdl.handle.net/1808/19545

Chicago Manual of Style (16th Edition):

Pavlenko, Oleksandr. “Computation of Greeks Using Malliavin Calculus.” 2015. Masters Thesis, University of Kansas. Accessed October 18, 2017. http://hdl.handle.net/1808/19545.

MLA Handbook (7th Edition):

Pavlenko, Oleksandr. “Computation of Greeks Using Malliavin Calculus.” 2015. Web. 18 Oct 2017.

Vancouver:

Pavlenko O. Computation of Greeks Using Malliavin Calculus. [Internet] [Masters thesis]. University of Kansas; 2015. [cited 2017 Oct 18]. Available from: http://hdl.handle.net/1808/19545.

Council of Science Editors:

Pavlenko O. Computation of Greeks Using Malliavin Calculus. [Masters Thesis]. University of Kansas; 2015. Available from: http://hdl.handle.net/1808/19545


University of Pretoria

3. [No author]. An application of the Malliavin calculus in finance .

Degree: 2009, University of Pretoria

 This dissertation provides a brief theoretical introduction to the Malliavin calculus leading to a particular application in finance. The Malliavin calculus concepts are used to… (more)

Subjects/Keywords: Greeks; Stochastic calculus of variations; Malliavin calculus; UCTD

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APA (6th Edition):

author], [. (2009). An application of the Malliavin calculus in finance . (Masters Thesis). University of Pretoria. Retrieved from http://upetd.up.ac.za/thesis/available/etd-07062009-123751/

Chicago Manual of Style (16th Edition):

author], [No. “An application of the Malliavin calculus in finance .” 2009. Masters Thesis, University of Pretoria. Accessed October 18, 2017. http://upetd.up.ac.za/thesis/available/etd-07062009-123751/.

MLA Handbook (7th Edition):

author], [No. “An application of the Malliavin calculus in finance .” 2009. Web. 18 Oct 2017.

Vancouver:

author] [. An application of the Malliavin calculus in finance . [Internet] [Masters thesis]. University of Pretoria; 2009. [cited 2017 Oct 18]. Available from: http://upetd.up.ac.za/thesis/available/etd-07062009-123751/.

Council of Science Editors:

author] [. An application of the Malliavin calculus in finance . [Masters Thesis]. University of Pretoria; 2009. Available from: http://upetd.up.ac.za/thesis/available/etd-07062009-123751/


University of Pretoria

4. Fordred, Gordon Ian. An application of the Malliavin calculus in finance.

Degree: Mathematics and Applied Mathematics, 2009, University of Pretoria

 This dissertation provides a brief theoretical introduction to the Malliavin calculus leading to a particular application in finance. The Malliavin calculus concepts are used to… (more)

Subjects/Keywords: Greeks; Stochastic calculus of variations; Malliavin calculus; UCTD

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APA (6th Edition):

Fordred, G. I. (2009). An application of the Malliavin calculus in finance. (Masters Thesis). University of Pretoria. Retrieved from http://hdl.handle.net/2263/26091

Chicago Manual of Style (16th Edition):

Fordred, Gordon Ian. “An application of the Malliavin calculus in finance.” 2009. Masters Thesis, University of Pretoria. Accessed October 18, 2017. http://hdl.handle.net/2263/26091.

MLA Handbook (7th Edition):

Fordred, Gordon Ian. “An application of the Malliavin calculus in finance.” 2009. Web. 18 Oct 2017.

Vancouver:

Fordred GI. An application of the Malliavin calculus in finance. [Internet] [Masters thesis]. University of Pretoria; 2009. [cited 2017 Oct 18]. Available from: http://hdl.handle.net/2263/26091.

Council of Science Editors:

Fordred GI. An application of the Malliavin calculus in finance. [Masters Thesis]. University of Pretoria; 2009. Available from: http://hdl.handle.net/2263/26091


Stellenbosch University

5. Chongo, Ambrose. Computing the Greeks using the integration by parts formula for the Skorohod integral.

Degree: Mathematical Sciences, 2008, Stellenbosch University

Thesis (MSc (Mathematics)) – Stellenbosch University, 2008.

The computation of the greeks of an option is an important aspect of financial mathematics. The information gained from… (more)

Subjects/Keywords: Mathematics; Options (Finance)  – Prices  – Mathematics; Malliavin calculus; Financial risk management  – Mathematics; Financial mathematics; Integration by parts formula; Malliavin calculus

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APA (6th Edition):

Chongo, A. (2008). Computing the Greeks using the integration by parts formula for the Skorohod integral. (Thesis). Stellenbosch University. Retrieved from http://hdl.handle.net/10019.1/2607

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Chongo, Ambrose. “Computing the Greeks using the integration by parts formula for the Skorohod integral.” 2008. Thesis, Stellenbosch University. Accessed October 18, 2017. http://hdl.handle.net/10019.1/2607.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Chongo, Ambrose. “Computing the Greeks using the integration by parts formula for the Skorohod integral.” 2008. Web. 18 Oct 2017.

Vancouver:

Chongo A. Computing the Greeks using the integration by parts formula for the Skorohod integral. [Internet] [Thesis]. Stellenbosch University; 2008. [cited 2017 Oct 18]. Available from: http://hdl.handle.net/10019.1/2607.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chongo A. Computing the Greeks using the integration by parts formula for the Skorohod integral. [Thesis]. Stellenbosch University; 2008. Available from: http://hdl.handle.net/10019.1/2607

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


University of Tennessee – Knoxville

6. Wang, Liguo. Numerical Solutions of Stochastic Differential Equations.

Degree: 2016, University of Tennessee – Knoxville

 In this dissertation, we consider the problem of simulation of stochastic differential equations driven by Brownian motions or the general Levy processes. There are two… (more)

Subjects/Keywords: SDE; numerical solution; local Lipschitz; Malliavin Calculus; Probability

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APA (6th Edition):

Wang, L. (2016). Numerical Solutions of Stochastic Differential Equations. (Doctoral Dissertation). University of Tennessee – Knoxville. Retrieved from http://trace.tennessee.edu/utk_graddiss/3974

Chicago Manual of Style (16th Edition):

Wang, Liguo. “Numerical Solutions of Stochastic Differential Equations.” 2016. Doctoral Dissertation, University of Tennessee – Knoxville. Accessed October 18, 2017. http://trace.tennessee.edu/utk_graddiss/3974.

MLA Handbook (7th Edition):

Wang, Liguo. “Numerical Solutions of Stochastic Differential Equations.” 2016. Web. 18 Oct 2017.

Vancouver:

Wang L. Numerical Solutions of Stochastic Differential Equations. [Internet] [Doctoral dissertation]. University of Tennessee – Knoxville; 2016. [cited 2017 Oct 18]. Available from: http://trace.tennessee.edu/utk_graddiss/3974.

Council of Science Editors:

Wang L. Numerical Solutions of Stochastic Differential Equations. [Doctoral Dissertation]. University of Tennessee – Knoxville; 2016. Available from: http://trace.tennessee.edu/utk_graddiss/3974

7. Abbas-Turki, Lokman. Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance.

Degree: Docteur es, Mathématiques, 2012, Université Paris-Est

De ce fait, le premier objectif de notre travail consiste à proposer des générateurs de nombres aléatoires appropriés pour des architectures parallèles et massivement parallèles… (more)

Subjects/Keywords: Options Américaines; Calcul de Malliavin; Réduction de variance; Calibration; American Options; Malliavin Calculus; Variance Reduction; Calibration

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APA (6th Edition):

Abbas-Turki, L. (2012). Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2012PEST1055

Chicago Manual of Style (16th Edition):

Abbas-Turki, Lokman. “Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance.” 2012. Doctoral Dissertation, Université Paris-Est. Accessed October 18, 2017. http://www.theses.fr/2012PEST1055.

MLA Handbook (7th Edition):

Abbas-Turki, Lokman. “Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance.” 2012. Web. 18 Oct 2017.

Vancouver:

Abbas-Turki L. Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance. [Internet] [Doctoral dissertation]. Université Paris-Est; 2012. [cited 2017 Oct 18]. Available from: http://www.theses.fr/2012PEST1055.

Council of Science Editors:

Abbas-Turki L. Calcul parallèle pour les problèmes linéaires, non-linéaires et linéaires inverses en finance : Parallel computing for linear, nonlinear and linear inverse problems in finance. [Doctoral Dissertation]. Université Paris-Est; 2012. Available from: http://www.theses.fr/2012PEST1055

8. Rabiet, Victor. Une équation stochastique avec sauts censurés liée à des PDMP à plusieurs régimes : A stochastic equation with censored jumps related to multi-scale Piecewise Deterministic Markov Processes.

Degree: Docteur es, Mathématiques, 2015, Université Paris-Est

L'ensemble de ce travail est dédié à l'étude de certaines propriétés concernant les processus de sauts d-dimensionnels X = (Xt) dont le générateur est donné… (more)

Subjects/Keywords: Calcul de Malliavin; Processus de sauts; Pdmp; Récurrent au sens de Harris; Malliavin calculus; Jumps processes; Pdmp; Harris recurrent

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APA (6th Edition):

Rabiet, V. (2015). Une équation stochastique avec sauts censurés liée à des PDMP à plusieurs régimes : A stochastic equation with censored jumps related to multi-scale Piecewise Deterministic Markov Processes. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2015PESC1031

Chicago Manual of Style (16th Edition):

Rabiet, Victor. “Une équation stochastique avec sauts censurés liée à des PDMP à plusieurs régimes : A stochastic equation with censored jumps related to multi-scale Piecewise Deterministic Markov Processes.” 2015. Doctoral Dissertation, Université Paris-Est. Accessed October 18, 2017. http://www.theses.fr/2015PESC1031.

MLA Handbook (7th Edition):

Rabiet, Victor. “Une équation stochastique avec sauts censurés liée à des PDMP à plusieurs régimes : A stochastic equation with censored jumps related to multi-scale Piecewise Deterministic Markov Processes.” 2015. Web. 18 Oct 2017.

Vancouver:

Rabiet V. Une équation stochastique avec sauts censurés liée à des PDMP à plusieurs régimes : A stochastic equation with censored jumps related to multi-scale Piecewise Deterministic Markov Processes. [Internet] [Doctoral dissertation]. Université Paris-Est; 2015. [cited 2017 Oct 18]. Available from: http://www.theses.fr/2015PESC1031.

Council of Science Editors:

Rabiet V. Une équation stochastique avec sauts censurés liée à des PDMP à plusieurs régimes : A stochastic equation with censored jumps related to multi-scale Piecewise Deterministic Markov Processes. [Doctoral Dissertation]. Université Paris-Est; 2015. Available from: http://www.theses.fr/2015PESC1031


University of Hong Kong

9. Wright, John Alexander. Enlargement of filtration on Poisson space and some results on the Sharpe ratio.

Degree: PhD, 2011, University of Hong Kong

published_or_final_version

Mathematics

Doctoral

Doctor of Philosophy

Advisors/Committee Members: Yung, SP.

Subjects/Keywords: Ratio analysis.; Poisson processes.; Malliavin calculus.

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APA (6th Edition):

Wright, J. A. (2011). Enlargement of filtration on Poisson space and some results on the Sharpe ratio. (Doctoral Dissertation). University of Hong Kong. Retrieved from Wright, J. A.. (2011). Enlargement of filtration on Poisson space and some results on the Sharpe ratio. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4714750 ; http://dx.doi.org/10.5353/th_b4714750

Chicago Manual of Style (16th Edition):

Wright, John Alexander. “Enlargement of filtration on Poisson space and some results on the Sharpe ratio.” 2011. Doctoral Dissertation, University of Hong Kong. Accessed October 18, 2017. Wright, J. A.. (2011). Enlargement of filtration on Poisson space and some results on the Sharpe ratio. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4714750 ; http://dx.doi.org/10.5353/th_b4714750.

MLA Handbook (7th Edition):

Wright, John Alexander. “Enlargement of filtration on Poisson space and some results on the Sharpe ratio.” 2011. Web. 18 Oct 2017.

Vancouver:

Wright JA. Enlargement of filtration on Poisson space and some results on the Sharpe ratio. [Internet] [Doctoral dissertation]. University of Hong Kong; 2011. [cited 2017 Oct 18]. Available from: Wright, J. A.. (2011). Enlargement of filtration on Poisson space and some results on the Sharpe ratio. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4714750 ; http://dx.doi.org/10.5353/th_b4714750.

Council of Science Editors:

Wright JA. Enlargement of filtration on Poisson space and some results on the Sharpe ratio. [Doctoral Dissertation]. University of Hong Kong; 2011. Available from: Wright, J. A.. (2011). Enlargement of filtration on Poisson space and some results on the Sharpe ratio. (Thesis). University of Hong Kong, Pokfulam, Hong Kong SAR. Retrieved from http://dx.doi.org/10.5353/th_b4714750 ; http://dx.doi.org/10.5353/th_b4714750


UCLA

10. Mahboubi, Pejman. Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation.

Degree: Mathematics, 2012, UCLA

 In recent decades, as a result of mathematicians' endeavor to come up with more realistic models for complex phenomena, the acceptance of a stochastic model… (more)

Subjects/Keywords: Mathematics; Intermittency; KPZ; Lyapunov Exponents; Malliavin Calculus; Martingale Measures; Stochastic Partial Differential Equations

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APA (6th Edition):

Mahboubi, P. (2012). Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation. (Thesis). UCLA. Retrieved from http://www.escholarship.org/uc/item/9zc7t81k

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Mahboubi, Pejman. “Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation.” 2012. Thesis, UCLA. Accessed October 18, 2017. http://www.escholarship.org/uc/item/9zc7t81k.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Mahboubi, Pejman. “Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation.” 2012. Web. 18 Oct 2017.

Vancouver:

Mahboubi P. Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation. [Internet] [Thesis]. UCLA; 2012. [cited 2017 Oct 18]. Available from: http://www.escholarship.org/uc/item/9zc7t81k.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Mahboubi P. Intermittency of the Malliavin Derivatives and Regularity of the Densities for a Stochastic Heat Equation. [Thesis]. UCLA; 2012. Available from: http://www.escholarship.org/uc/item/9zc7t81k

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

11. De Marco, Stefano. On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers.

Degree: Docteur es, Mathématiques appliquées et applications des mathématiques, 2010, Université Paris-Est

Des travaux récents dans le domaine des mathématiques financières ont fait émerger l'importance de l'étude de la régularité et du comportement fin des queues de… (more)

Subjects/Keywords: Equations différentielles Stochastiques; Mathématiques financières; Estimation de densités; Calcul de Malliavin; Volatilité stochastique; Volatilité implicite; Stochastic differential equations; Mathematical Finance; Density estimation; Malliavin calculus; Stochastic Volatility; Implied volatility

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APA (6th Edition):

De Marco, S. (2010). On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2010PEST1017

Chicago Manual of Style (16th Edition):

De Marco, Stefano. “On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers.” 2010. Doctoral Dissertation, Université Paris-Est. Accessed October 18, 2017. http://www.theses.fr/2010PEST1017.

MLA Handbook (7th Edition):

De Marco, Stefano. “On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers.” 2010. Web. 18 Oct 2017.

Vancouver:

De Marco S. On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers. [Internet] [Doctoral dissertation]. Université Paris-Est; 2010. [cited 2017 Oct 18]. Available from: http://www.theses.fr/2010PEST1017.

Council of Science Editors:

De Marco S. On probability distributions of diffusions and financial models with non-globally smooth coefficients : Sur les lois de diffusions et de modèles financiers avec coefficients non globalement réguliers. [Doctoral Dissertation]. Université Paris-Est; 2010. Available from: http://www.theses.fr/2010PEST1017

12. Rey, Clément. Étude et modélisation des équations différentielles stochastiques : High weak order discretization schemes for stochastic differential equation.

Degree: Docteur es, Mathématiques, 2015, Université Paris-Est

 Durant les dernières décennies, l'essor des moyens technologiques et particulièrement informatiques a permis l'émergence de la mise en œuvre de méthodes numériques pour l'approximation d'Equations… (more)

Subjects/Keywords: Schémas de discrétisation; Equation diffférentielles stochastiques; Calcul de Malliavin; Estimateur de Maximum de Vraisemblance; Processus de Wishart; Discretization schemes; Stochastic Differential Equations; Malliavin calculus; Maximum Likelyhood Estimator; Wishart process

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APA (6th Edition):

Rey, C. (2015). Étude et modélisation des équations différentielles stochastiques : High weak order discretization schemes for stochastic differential equation. (Doctoral Dissertation). Université Paris-Est. Retrieved from http://www.theses.fr/2015PESC1177

Chicago Manual of Style (16th Edition):

Rey, Clément. “Étude et modélisation des équations différentielles stochastiques : High weak order discretization schemes for stochastic differential equation.” 2015. Doctoral Dissertation, Université Paris-Est. Accessed October 18, 2017. http://www.theses.fr/2015PESC1177.

MLA Handbook (7th Edition):

Rey, Clément. “Étude et modélisation des équations différentielles stochastiques : High weak order discretization schemes for stochastic differential equation.” 2015. Web. 18 Oct 2017.

Vancouver:

Rey C. Étude et modélisation des équations différentielles stochastiques : High weak order discretization schemes for stochastic differential equation. [Internet] [Doctoral dissertation]. Université Paris-Est; 2015. [cited 2017 Oct 18]. Available from: http://www.theses.fr/2015PESC1177.

Council of Science Editors:

Rey C. Étude et modélisation des équations différentielles stochastiques : High weak order discretization schemes for stochastic differential equation. [Doctoral Dissertation]. Université Paris-Est; 2015. Available from: http://www.theses.fr/2015PESC1177


EPFL

13. Kalbasi, Kamran. Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior.

Degree: 2014, EPFL

 We consider the parabolic Anderson model on ℤd driven by fractional noise. We prove that it has a mild solution given by Feynman-Kac representation which… (more)

Subjects/Keywords: Parabolic Anderson model; Stochastic heat equation; Fractional Brownian motion; Feynman-Kac formula; Lyapunov exponents; Malliavin calculus

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APA (6th Edition):

Kalbasi, K. (2014). Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior. (Thesis). EPFL. Retrieved from http://infoscience.epfl.ch/record/202160

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Kalbasi, Kamran. “Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior.” 2014. Thesis, EPFL. Accessed October 18, 2017. http://infoscience.epfl.ch/record/202160.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Kalbasi, Kamran. “Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior.” 2014. Web. 18 Oct 2017.

Vancouver:

Kalbasi K. Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior. [Internet] [Thesis]. EPFL; 2014. [cited 2017 Oct 18]. Available from: http://infoscience.epfl.ch/record/202160.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Kalbasi K. Discrete stochastic heat equation driven by fractional noise: Feynman-Kac representation and asymptotic behavior. [Thesis]. EPFL; 2014. Available from: http://infoscience.epfl.ch/record/202160

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Loughborough University

14. Luo, Ye. Random periodic solutions of stochastic functional differential equations.

Degree: PhD, 2014, Loughborough University

 In this thesis, we study the existence of random periodic solutions for both nonlinear dissipative stochastic functional differential equations (SFDEs) and semilinear nondissipative SFDEs in… (more)

Subjects/Keywords: 519.2; Random periodic solution; Random dynamical system; Stochastic functional differential equation; Pullback-convergence technique; Coupling method; Malliavin calculus; Relative compactness.

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APA (6th Edition):

Luo, Y. (2014). Random periodic solutions of stochastic functional differential equations. (Doctoral Dissertation). Loughborough University. Retrieved from https://dspace.lboro.ac.uk/2134/16112 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631608

Chicago Manual of Style (16th Edition):

Luo, Ye. “Random periodic solutions of stochastic functional differential equations.” 2014. Doctoral Dissertation, Loughborough University. Accessed October 18, 2017. https://dspace.lboro.ac.uk/2134/16112 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631608.

MLA Handbook (7th Edition):

Luo, Ye. “Random periodic solutions of stochastic functional differential equations.” 2014. Web. 18 Oct 2017.

Vancouver:

Luo Y. Random periodic solutions of stochastic functional differential equations. [Internet] [Doctoral dissertation]. Loughborough University; 2014. [cited 2017 Oct 18]. Available from: https://dspace.lboro.ac.uk/2134/16112 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631608.

Council of Science Editors:

Luo Y. Random periodic solutions of stochastic functional differential equations. [Doctoral Dissertation]. Loughborough University; 2014. Available from: https://dspace.lboro.ac.uk/2134/16112 ; http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.631608


University of Waterloo

15. Smalyanau, Aleh. The Clark-Ocone formula and optimal portfolios.

Degree: 2007, University of Waterloo

 In this thesis we propose a new approach to solve single-agent investment problems with deterministic coefficients. We consider the classical Merton’s portfolio problem framework, which… (more)

Subjects/Keywords: Optimal portfolio; Malliavin Calculus; Clark-Ocone formula

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APA (6th Edition):

Smalyanau, A. (2007). The Clark-Ocone formula and optimal portfolios. (Thesis). University of Waterloo. Retrieved from http://hdl.handle.net/10012/3337

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Smalyanau, Aleh. “The Clark-Ocone formula and optimal portfolios.” 2007. Thesis, University of Waterloo. Accessed October 18, 2017. http://hdl.handle.net/10012/3337.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Smalyanau, Aleh. “The Clark-Ocone formula and optimal portfolios.” 2007. Web. 18 Oct 2017.

Vancouver:

Smalyanau A. The Clark-Ocone formula and optimal portfolios. [Internet] [Thesis]. University of Waterloo; 2007. [cited 2017 Oct 18]. Available from: http://hdl.handle.net/10012/3337.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Smalyanau A. The Clark-Ocone formula and optimal portfolios. [Thesis]. University of Waterloo; 2007. Available from: http://hdl.handle.net/10012/3337

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

16. Mastrolia, Thibaut. Une étude de la régularité de solutions d'EDS Rétrogrades et de leurs utilisations en finance : Regularity of solutions to Backward SDEs and applications to finance.

Degree: Docteur es, Sciences, 2015, Paris 9

Dans cette thèse, nous donnerons tout d'abord des conditions sur les paramètres d’une EDSR à générateur lipschitzien ou à croissance quadratique telles que les processus… (more)

Subjects/Keywords: Edsr; Calcul de Malliavin; Analyse de densités; Espace de Wiener; Edp; Risque de crédit; Grossissement de filtration; Partage du risque; Alea moral; 2edsr; Bsde; Malliavin calculus; Wiener spaces; Credit risk; Enlargement of filtrations; Risk sharing; Moral hazard; 2bsde; 519.4

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APA (6th Edition):

Mastrolia, T. (2015). Une étude de la régularité de solutions d'EDS Rétrogrades et de leurs utilisations en finance : Regularity of solutions to Backward SDEs and applications to finance. (Doctoral Dissertation). Paris 9. Retrieved from http://www.theses.fr/2015PA090066

Chicago Manual of Style (16th Edition):

Mastrolia, Thibaut. “Une étude de la régularité de solutions d'EDS Rétrogrades et de leurs utilisations en finance : Regularity of solutions to Backward SDEs and applications to finance.” 2015. Doctoral Dissertation, Paris 9. Accessed October 18, 2017. http://www.theses.fr/2015PA090066.

MLA Handbook (7th Edition):

Mastrolia, Thibaut. “Une étude de la régularité de solutions d'EDS Rétrogrades et de leurs utilisations en finance : Regularity of solutions to Backward SDEs and applications to finance.” 2015. Web. 18 Oct 2017.

Vancouver:

Mastrolia T. Une étude de la régularité de solutions d'EDS Rétrogrades et de leurs utilisations en finance : Regularity of solutions to Backward SDEs and applications to finance. [Internet] [Doctoral dissertation]. Paris 9; 2015. [cited 2017 Oct 18]. Available from: http://www.theses.fr/2015PA090066.

Council of Science Editors:

Mastrolia T. Une étude de la régularité de solutions d'EDS Rétrogrades et de leurs utilisations en finance : Regularity of solutions to Backward SDEs and applications to finance. [Doctoral Dissertation]. Paris 9; 2015. Available from: http://www.theses.fr/2015PA090066

17. Harnett, Daniel M. Central Limit Theorems for Some Symmetric Stochastic Integrals.

Degree: PhD, Mathematics, 2013, University of Kansas

 The problem of stochastic integration with respect to fractional Brownian motion (fBm) with H 1/4, but not in general if H 1/2. This result approximates… (more)

Subjects/Keywords: Mathematics; Fractional brownian motion; Malliavin calculus; Stochastic integrals

…x5B;19]. 1.3 Malliavin calculus The results discussed in Sections 1.1 and 1.2, and… …Malliavin calculus. Malliavin calculus, also called the stochastic calculus of variations, is a… …Malliavin calculus gives a way to extend the Itô calculus from Brownian motion to non-adapted… …natural connection between Malliavin calculus and Stein’s Lemma, which gives a way to measure… …Some necessary definitions and identities of the Malliavin calculus are presented in Chapter… 

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APA (6th Edition):

Harnett, D. M. (2013). Central Limit Theorems for Some Symmetric Stochastic Integrals. (Doctoral Dissertation). University of Kansas. Retrieved from http://hdl.handle.net/1808/12238

Chicago Manual of Style (16th Edition):

Harnett, Daniel M. “Central Limit Theorems for Some Symmetric Stochastic Integrals.” 2013. Doctoral Dissertation, University of Kansas. Accessed October 18, 2017. http://hdl.handle.net/1808/12238.

MLA Handbook (7th Edition):

Harnett, Daniel M. “Central Limit Theorems for Some Symmetric Stochastic Integrals.” 2013. Web. 18 Oct 2017.

Vancouver:

Harnett DM. Central Limit Theorems for Some Symmetric Stochastic Integrals. [Internet] [Doctoral dissertation]. University of Kansas; 2013. [cited 2017 Oct 18]. Available from: http://hdl.handle.net/1808/12238.

Council of Science Editors:

Harnett DM. Central Limit Theorems for Some Symmetric Stochastic Integrals. [Doctoral Dissertation]. University of Kansas; 2013. Available from: http://hdl.handle.net/1808/12238


Université du Luxembourg

18. Campese, Simon. Optimal rates, Fourth Moment Theorems and non-linear functionals of Brownian local times.

Degree: 2014, Université du Luxembourg

 The present dissertation provides contributions to three distinct topics of modern stochastic analysis, namely: (a) optimal rates of convergence in multidimensional central limit theorems (CLTs)… (more)

Subjects/Keywords: Malliavin calculus; Stein's method; limit theorems; Brownian motion; local times; Markov generators; Physical, chemical, mathematical & earth Sciences :: Mathematics [G03]; Physique, chimie, mathématiques & sciences de la terre :: Mathématiques [G03]

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APA (6th Edition):

Campese, S. (2014). Optimal rates, Fourth Moment Theorems and non-linear functionals of Brownian local times. (Doctoral Dissertation). Université du Luxembourg. Retrieved from http://orbilu.uni.lu/handle/10993/20306

Chicago Manual of Style (16th Edition):

Campese, Simon. “Optimal rates, Fourth Moment Theorems and non-linear functionals of Brownian local times.” 2014. Doctoral Dissertation, Université du Luxembourg. Accessed October 18, 2017. http://orbilu.uni.lu/handle/10993/20306.

MLA Handbook (7th Edition):

Campese, Simon. “Optimal rates, Fourth Moment Theorems and non-linear functionals of Brownian local times.” 2014. Web. 18 Oct 2017.

Vancouver:

Campese S. Optimal rates, Fourth Moment Theorems and non-linear functionals of Brownian local times. [Internet] [Doctoral dissertation]. Université du Luxembourg; 2014. [cited 2017 Oct 18]. Available from: http://orbilu.uni.lu/handle/10993/20306.

Council of Science Editors:

Campese S. Optimal rates, Fourth Moment Theorems and non-linear functionals of Brownian local times. [Doctoral Dissertation]. Université du Luxembourg; 2014. Available from: http://orbilu.uni.lu/handle/10993/20306

19. WONG MAN CHUI. Applications of Malliavin calculus and white noise analysis in interest rate markets, and convertible bonds with and without symmetric informaiton.

Degree: 2008, National University of Singapore

Subjects/Keywords: Interest rate models; Convertible bonds; Malliavin calculus; Asymmetric information; White noise analysis

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APA (6th Edition):

CHUI, W. M. (2008). Applications of Malliavin calculus and white noise analysis in interest rate markets, and convertible bonds with and without symmetric informaiton. (Thesis). National University of Singapore. Retrieved from http://scholarbank.nus.edu.sg/handle/10635/12892 ; http://scholarbank.nus.edu.sg/bitstream/10635%2F12892/1/bitstream ; http://scholarbank.nus.edu.sg/bitstream/10635%2F12892/2/bitstream

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

CHUI, WONG MAN. “Applications of Malliavin calculus and white noise analysis in interest rate markets, and convertible bonds with and without symmetric informaiton.” 2008. Thesis, National University of Singapore. Accessed October 18, 2017. http://scholarbank.nus.edu.sg/handle/10635/12892 ; http://scholarbank.nus.edu.sg/bitstream/10635%2F12892/1/bitstream ; http://scholarbank.nus.edu.sg/bitstream/10635%2F12892/2/bitstream.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

CHUI, WONG MAN. “Applications of Malliavin calculus and white noise analysis in interest rate markets, and convertible bonds with and without symmetric informaiton.” 2008. Web. 18 Oct 2017.

Vancouver:

CHUI WM. Applications of Malliavin calculus and white noise analysis in interest rate markets, and convertible bonds with and without symmetric informaiton. [Internet] [Thesis]. National University of Singapore; 2008. [cited 2017 Oct 18]. Available from: http://scholarbank.nus.edu.sg/handle/10635/12892 ; http://scholarbank.nus.edu.sg/bitstream/10635%2F12892/1/bitstream ; http://scholarbank.nus.edu.sg/bitstream/10635%2F12892/2/bitstream.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

CHUI WM. Applications of Malliavin calculus and white noise analysis in interest rate markets, and convertible bonds with and without symmetric informaiton. [Thesis]. National University of Singapore; 2008. Available from: http://scholarbank.nus.edu.sg/handle/10635/12892 ; http://scholarbank.nus.edu.sg/bitstream/10635%2F12892/1/bitstream ; http://scholarbank.nus.edu.sg/bitstream/10635%2F12892/2/bitstream

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation


Université du Luxembourg

20. Ledent, Antoine Patrick Isabelle Eric. Kusuoka-Stroock type bounds for densities related to low-dimensional projections of high-dimensional SDE.

Degree: 2017, Université du Luxembourg

 One of the purposes of this thesis is to use Malliavin calculus and Stochastic Taylor expansions to study the densities of interacting systems of stochastic… (more)

Subjects/Keywords: Density upper bounds; Malliavin calculus; Progressive Hörmander condition; Signature; Rough paths; Weak Hörmander condition; Physical, chemical, mathematical & earth Sciences :: Mathematics [G03]; Physique, chimie, mathématiques & sciences de la terre :: Mathématiques [G03]

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APA (6th Edition):

Ledent, A. P. I. E. (2017). Kusuoka-Stroock type bounds for densities related to low-dimensional projections of high-dimensional SDE. (Doctoral Dissertation). Université du Luxembourg. Retrieved from http://orbilu.uni.lu/handle/10993/32467

Chicago Manual of Style (16th Edition):

Ledent, Antoine Patrick Isabelle Eric. “Kusuoka-Stroock type bounds for densities related to low-dimensional projections of high-dimensional SDE.” 2017. Doctoral Dissertation, Université du Luxembourg. Accessed October 18, 2017. http://orbilu.uni.lu/handle/10993/32467.

MLA Handbook (7th Edition):

Ledent, Antoine Patrick Isabelle Eric. “Kusuoka-Stroock type bounds for densities related to low-dimensional projections of high-dimensional SDE.” 2017. Web. 18 Oct 2017.

Vancouver:

Ledent APIE. Kusuoka-Stroock type bounds for densities related to low-dimensional projections of high-dimensional SDE. [Internet] [Doctoral dissertation]. Université du Luxembourg; 2017. [cited 2017 Oct 18]. Available from: http://orbilu.uni.lu/handle/10993/32467.

Council of Science Editors:

Ledent APIE. Kusuoka-Stroock type bounds for densities related to low-dimensional projections of high-dimensional SDE. [Doctoral Dissertation]. Université du Luxembourg; 2017. Available from: http://orbilu.uni.lu/handle/10993/32467

21. Nam, Kihun. Backward Stochastic Differential Equations with Superlinear Drivers .

Degree: PhD, 2014, Princeton University

 This thesis focuses mainly on the well-posedness of backward stochastic differential equations: [ Yt=xi+inttTf(s,Ys,Zs)ds-inttTZsdWs ] The most prevalent method for showing the well-posedness of BSDE… (more)

Subjects/Keywords: Backward Stochastic Differential Equations; Fixed Point Theorem; Girsanov transform; Malliavin calculus; Multidimensional; Quadratic

…D for derivative operator. D1,p is the Wiener-Sobolev space where Malliavin calculus is… …the terminal condition using Malliavin calculus. People have sought existence and uniqueness… …solution. In Chapter 4, we will use Malliavin calculus to study BSDEs with drivers that has… …L2 and Wiener-Sobolev space using Malliavin calculus. Recently, Bally and Saussereau [… …terminal conditions that have bounded Malliavin derivative. Journal of Functional Analysis, 266… 

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APA (6th Edition):

Nam, K. (2014). Backward Stochastic Differential Equations with Superlinear Drivers . (Doctoral Dissertation). Princeton University. Retrieved from http://arks.princeton.edu/ark:/88435/dsp01k3569447m

Chicago Manual of Style (16th Edition):

Nam, Kihun. “Backward Stochastic Differential Equations with Superlinear Drivers .” 2014. Doctoral Dissertation, Princeton University. Accessed October 18, 2017. http://arks.princeton.edu/ark:/88435/dsp01k3569447m.

MLA Handbook (7th Edition):

Nam, Kihun. “Backward Stochastic Differential Equations with Superlinear Drivers .” 2014. Web. 18 Oct 2017.

Vancouver:

Nam K. Backward Stochastic Differential Equations with Superlinear Drivers . [Internet] [Doctoral dissertation]. Princeton University; 2014. [cited 2017 Oct 18]. Available from: http://arks.princeton.edu/ark:/88435/dsp01k3569447m.

Council of Science Editors:

Nam K. Backward Stochastic Differential Equations with Superlinear Drivers . [Doctoral Dissertation]. Princeton University; 2014. Available from: http://arks.princeton.edu/ark:/88435/dsp01k3569447m

22. Lu, Fei. Some application of Malliavin calculus to SPDE and convergence of densities.

Degree: PhD, Mathematics, 2013, University of Kansas

 Some applications of Malliavin calculus to stochastic partial differential equations (SPDEs) and to normal approximation theory are studied in this dissertation. In Chapter 3, a… (more)

Subjects/Keywords: Mathematics; Central limit theorems on wiener chaos; Convergence of densities; Feynman-kac formula; Holder continuity of solutions to spdes; Malliavin calculus; Stochastic partial differential equatons

Malliavin calculus to stochastic partial differential equations (SPDEs) and to normal… …The Malliavin calculus, also known as the stochastic calculus of variations, is an infinite… …Malliavin calculus. First is the theory of differential operators defined on suitable Sobolev… …solution of a stochastic differential equation. In the applications of Malliavin calculus to SPDE… …Malliavin calculus can be combined with Stein’s method (a general method to obtain bounds on… 

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APA (6th Edition):

Lu, F. (2013). Some application of Malliavin calculus to SPDE and convergence of densities. (Doctoral Dissertation). University of Kansas. Retrieved from http://hdl.handle.net/1808/12309

Chicago Manual of Style (16th Edition):

Lu, Fei. “Some application of Malliavin calculus to SPDE and convergence of densities.” 2013. Doctoral Dissertation, University of Kansas. Accessed October 18, 2017. http://hdl.handle.net/1808/12309.

MLA Handbook (7th Edition):

Lu, Fei. “Some application of Malliavin calculus to SPDE and convergence of densities.” 2013. Web. 18 Oct 2017.

Vancouver:

Lu F. Some application of Malliavin calculus to SPDE and convergence of densities. [Internet] [Doctoral dissertation]. University of Kansas; 2013. [cited 2017 Oct 18]. Available from: http://hdl.handle.net/1808/12309.

Council of Science Editors:

Lu F. Some application of Malliavin calculus to SPDE and convergence of densities. [Doctoral Dissertation]. University of Kansas; 2013. Available from: http://hdl.handle.net/1808/12309

23. Ringer, Nathanael David. Three essays on valuation and investment in incomplete markets.

Degree: Mathematics, 2011, University of Texas – Austin

 Incomplete markets provide many challenges for both investment decisions and valuation problems. While both problems have received extensive attention in complete markets, there remain many… (more)

Subjects/Keywords: Credit default; Indifference pricing; Infinite-dimensional stochastic processes; Malliavin calculus; Numeraire; Utility maximization; Incomplete markets; Credit derivatives; Collateralized debt obligations; Optimal investment; Pricing

…optimal portfolio. In Section 1.7, we state some results from Malliavin Calculus, including the… …admissibility given here is well-suited for the Malliavin Calculus techniques we will use. There are… …calculus There has been much recent academic interest in the financial applications of Malliavin… …To meet these demands we appeal to the Malliavin calculus. Most importantly, the Malliavin… …investor will sell short the bonds given by the downward jumps. 1.7 Some results from Malliavin… 

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APA (6th Edition):

Ringer, N. D. (2011). Three essays on valuation and investment in incomplete markets. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2011-05-2816

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16th Edition):

Ringer, Nathanael David. “Three essays on valuation and investment in incomplete markets.” 2011. Thesis, University of Texas – Austin. Accessed October 18, 2017. http://hdl.handle.net/2152/ETD-UT-2011-05-2816.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7th Edition):

Ringer, Nathanael David. “Three essays on valuation and investment in incomplete markets.” 2011. Web. 18 Oct 2017.

Vancouver:

Ringer ND. Three essays on valuation and investment in incomplete markets. [Internet] [Thesis]. University of Texas – Austin; 2011. [cited 2017 Oct 18]. Available from: http://hdl.handle.net/2152/ETD-UT-2011-05-2816.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Ringer ND. Three essays on valuation and investment in incomplete markets. [Thesis]. University of Texas – Austin; 2011. Available from: http://hdl.handle.net/2152/ETD-UT-2011-05-2816

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

.