Browsing Theses and Dissertations by Subject "Malliavin calculus"

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Malliavin calculus and its applications to mathematical finance

Kgomo, Shadrack Makwena (2020)

In this study,we consider two problems.The first one is the problem of computing hedging portfolios for options that may have discontinuous payoff functions.For this problem we use the Malliavin property called the ...
Pathwise functional lto calculus and its applications to the mathematical finance

Nkosi, Siboniso Confrence (2019)

Functional Itˆo calculus is based on an extension of the classical Itˆo calculus to functionals depending on the entire past evolution of the underlying paths and not only on its current value. The calculus builds on ...

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