On mathematical finance

MaRDI QIDQ2717319zbMATH OpenFDO

Authors P.-L. Lions

Publication date 6 November 2002

zbMATH Keywords

hedgesMalliavin calculusoption pricingpartial informationsurvey

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)

Review text

The author presents a survey of some issues in mathematical finance concentrating mostly on rather practical problems such a modelling and numerical issues. Based on a paper due to \textit{E. Fournié, J. M. Lasry, J. Lebuchaux}, and \textit{N. Touzi} [Finance Stoch. 3, No. 3, 391-412 (1999)] it is outlined in Section III how the Malliavin calculus can be applied in order to obtain efficient Monte-Carlo computations of hedges. Finally, in Section IV, the author outlines a general approach to the issue of option pricing and hedging when only partial information is available.NEWLINENEWLINEFor the entire collection see [Zbl 0953.00026].

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Cited in

(7)

• The fuzzy mathematics of finance
• Modern Problems of Financial Mathematics
• Review Paper. A survey of mathematical finance
• scientific article; zbMATH DE number 1163406 (Why is no real title available?)
• scientific article; zbMATH DE number 1546640 (Why is no real title available?)
• Financial mathematics in discrete time
• The mathematics of Ponzi schemes

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