《金融数学中的随机变分法》高清PDF

stochaLsticCalculusofVariations（orMalliavinCalculus）consists，inbrief，inconstructingandexploitingnaturaldifferentiablestructuresonabstractDrobabilityspaces；inotherwords，StochasticCalculusofVariationsproceedsfromamergingofdifferentialcalculusandprobabilitytheory．AsoptimizationunderarandomenvironmentiSattheheartofmathemat’icalfinance，andasdifferentialcalculusiSofparamountimportanceforthesearchofextrema，itisnotsurprisingthatStochasticCalculusofVariationsappearsinmathematicalfinance．Thecomputationofpricesensitivities（orGreekslobviouslybelongstotherealmofdifferentialcalculus．Nevertheless，StochasticCalculusofVariationsWasintroducedrelativelylateinthemathematicalfinanceliterature：firstin1991withtheOcone-Karatzashedgingformula，andsoonafterthat，manyotherapplicationsalDearedinvariousotherbranchesofmathematicalfinance；in1999anewirapetuscamefromtheworksofP．L．Lionsandhisassociates．

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