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An Application of Malliavin Calculus to Hedging Exotic Barrier Options
Title: | An Application of Malliavin Calculus to Hedging Exotic Barrier Options |
Authors: | Li, Hongyun |
Item Type: | Thesis or dissertation |
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. |
Issue Date: | May-2011 |
Date Awarded: | Jul-2011 |
URI: | http://hdl.handle.net/10044/1/6950 |
DOI: | https://doi.org/10.25560/6950 |
Supervisor: | Barnett, Chris |
Sponsor/Funder: | Mitsubishi UFJ Securities International plc |
Author: | Li, Hongyun |
Department: | Mathematics |
Publisher: | Imperial College London |
Qualification Level: | Doctoral |
Qualification Name: | Doctor of Philosophy (PhD) |
Appears in Collections: | Mathematics PhD theses |