Itō atlas, its application to mathematical finance and to exponentiation of infinite dimensional Lie algebras

zbMATH Open1133.91027MaRDI QIDQ5436613FDOQ5436613

Paul Malliavin

Publication date: 17 January 2008

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zbMATH Keywords

Brownian motionmathematical financeJordan curvesinfinite-dimensional differential geometryItō calculuscomputation of volatilityLie group of diffeomorphisms of the circle

Mathematics Subject Classification ID

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

Cited In (1)

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

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