LEADER 04072nam  22006495  450 
001 9910561299703321
005 20250504235049.0
010   $a9789811910739$b(electronic bk.)
010   $z9789811910722
024 7 $a10.1007/978-981-19-1073-9
035   $a(MiAaPQ)EBC6954591
035   $a(Au-PeEL)EBL6954591
035   $a(CKB)21536291800041
035   $a(PPN)262168960
035   $a(DE-He213)978-981-19-1073-9
035   $a(EXLCZ)9921536291800041
100   $a20220417d2022      u|         0
101 0 $aeng
135   $aurcnu||||||||
181   $ctxt$2rdacontent
182   $cc$2rdamedia
183   $acr$2rdacarrier
200 10$aComputation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree /$fby Yoshifumi Muroi
205   $a1st ed. 2022.
210  1$aSingapore :$cSpringer Nature Singapore :$cImprint: Springer,$d2022.
215   $a1 online resource (113 pages)
225 1 $aJSS Research Series in Statistics,$x2364-0065
311 08$aPrint version: Muroi, Yoshifumi Computation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree Singapore : Springer Singapore Pte. Limited,c2022 9789811910722 
327   $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.
330   $aThis book presents new computation schemes for the sensitivity of options using the binomial tree and introduces readers to the discrete Malliavin calculus. It also shows that applications of the discrete Malliavin calculus approach to the binomial tree model offer fundamental tools for computing Greeks. The binomial tree approach is one of the most popular methods in option pricing. Although it is a fairly traditional model for option pricing, it is still widely used in financial institutions since it is tractable and easy to understand. However, the book shows that the tree approach also offers a powerful tool for deriving the Greeks for options. Greeks are quantities that represent the sensitivities of the price of derivative securities with respect to changes in the underlying asset price or parameters. The Malliavin calculus, the stochastic methods of variations, is one of the most popular tools used to derive Greeks. However, it is also very difficult to understand for most students and practitioners because it is based on complex mathematics. To help readers more easily understand the Malliavin calculus, the book introduces the discrete Malliavin calculus, a theory of the functional for the Bernoulli random walk. The discrete Malliavin calculus is significantly easier to understand, because the functional space of the Bernoulli random walk is realized in a finite dimensional space. As such, it makes this valuable tool far more accessible for a broad readership.
410  0$aJSS Research Series in Statistics,$x2364-0065
606   $aStatistics
606   $aStatistics
606   $aMathematics
606   $aFinance
606   $aStatistical Theory and Methods
606   $aStatistics in Business, Management, Economics, Finance, Insurance
606   $aApplications of Mathematics
606   $aFinancial Economics
606   $aStatistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences
615  0$aStatistics.
615  0$aStatistics.
615  0$aMathematics.
615  0$aFinance.
615 14$aStatistical Theory and Methods.
615 24$aStatistics in Business, Management, Economics, Finance, Insurance.
615 24$aApplications of Mathematics.
615 24$aFinancial Economics.
615 24$aStatistics in Engineering, Physics, Computer Science, Chemistry and Earth Sciences.
676   $a332.645
700   $aMuroi$b Yoshifumi$01222124
801  0$bMiAaPQ
801  1$bMiAaPQ
801  2$bMiAaPQ
912   $a9910561299703321
996   $aComputation of Greeks Using the Discrete Malliavin Calculus and Binomial Tree$94165574
997   $aUNINA