scientific article; zbMATH DE number 5227633

zbMath1133.91027MaRDI QIDQ5436613

Paul Malliavin

Publication date: 17 January 2008

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Brownian motionJordan curvesmathematical financeItō calculusinfinite-dimensional differential geometrycomputation of volatilityLie group of diffeomorphisms of the circle

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Infinite-dimensional Lie (super)algebras (17B65) Groups of diffeomorphisms and homeomorphisms as manifolds (58D05) Stochastic calculus of variations and the Malliavin calculus (60H07) Group structures and generalizations on infinite-dimensional manifolds (58B25) Measures (Gaussian, cylindrical, etc.) on manifolds of maps (58D20)

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A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics

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