Browsing Theses and Dissertations (Applied Mathematics) by Subject "Path-dependence"

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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 ...