Use this URL to cite or link to this record in EThOS: http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.537198
Title: An application of Malliavin calculus to hedging exotic barrier options
Author: Li, Hongyun
Awarding Body: Imperial College London
Current Institution: Imperial College London
Date of Award: 2011
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Abstract:
The thesis uses Malliavin’s Stochastic Calculus of Variations to identify the hedging strategies for Barrier style derived securities. The thesis gives an elementary treatment of this calculus which should be accessible to the non-specialist. The thesis deals also with extensions of the calculus to the composition of a Generalized Function and a Stochastic Variable which makes it applicable to the discontinuous payoffs encountered with Barrier Structures. The thesis makes a mathematical contribution by providing an elementary calculus for the composition of a Generalized function with a Stochastic Variable in the presence of a conditional expectation.
Supervisor: Barnett, Chris Sponsor: Mitsubishi UFJ Securities International plc
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID: uk.bl.ethos.537198  DOI: Not available
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