Lions: On mathematical finance

Lions, P. L.:
On mathematical finance
Bollettino dell'Unione Matematica Italiana Serie 8 3-B (2000), fasc. n.3, p. 553-572, Unione Matematica Italiana (English)
pdf (280 Kb), djvu (239 Kb). | MR1801617 | Zbl 0960.91040

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I. Introduzione. II. Un rapido esame di modelli e strumenti. III. Simulazioni Monte-Carlo efficienti e calcolo di Malliavin. IV. Osservazioni parziali e «option pricing».

Referenze Bibliografiche

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[8] E. FOURNIÉ-J. LEBUCHAUX-J. M. LASRY-P. L. LIONS-N. TAURI, Applications of Malliavin calculus to Monte-Carlo methods in Finance, Finance and Stochastics, 3 (1999). | MR 1842285 | Zbl 0947.60066

[9] E. FOURNIÉ-J. LEBUCHAUX-J.-M. LASRY-P.-L. LIONS, Applications of Malliavincalculus to Monte-Carlo methods in Finance, II, Finance and Stochastics, toappear. | Zbl 0973.60061

[10] D. LAMBERTON-B. LAPEYIRE, Introduction au calcul stochastique appliquè a la Finance, 1991. | Zbl 0497.60055

[11] J. M. LASRY-P. L. LIONS, work in preparation.

[12] J.-M. LASRY-P.-L. LIONS, Control stochastique avec informations partielles et applicationsa la Finance, C.R. Acad. Sci. Paris, 328 (1999), 1003-1010. | MR 1696196 | Zbl 0937.93058

[13] P.-L. LIONS, Viscosity solutions of fully nonlinear second order equations and optimalstochastic control in infinite dimension, Part II: Optimal control of Zakai'sequation. In Stochastic Partial Differential Equations and Applications, II. Springer L.N. Maths, 1340, Berlin, 1989. | MR 1019600 | Zbl 0757.93083

[14] P.-L. LIONS-H. RÉGNIER, work in preparation.

[15] P. MALLIAVIN, Stochastic Analysis, Springer, Berlin, 1997. | MR 1450093 | Zbl 0878.60001

[16] R. MERTON, Theory of rational option pricing, Bell J. Econom. Manag. Sci, 4 (1973), 141-183. | MR 496534

[17] M. MUSIELA-M. RUTKOWSKI, Mastingale methods in Financial Modelling, Springer, Berlin, 1997. | MR 1474500 | Zbl 0906.60001

[18] D. NUALART, The Malliavin calculus and related topics, Springer, Berlin, 1995. | MR 1344217 | Zbl 0837.60050

[19] R. ROBONTOS, Interest rate option models, Wiley, New-York, 1997. | Zbl 0992.91500

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Referenza completa

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Referenze Bibliografiche