calculus of variations

[vkaul1]

There is a calculus of variations graduate math course available next semester. How useful is calculus of variations in finance, especially a rigorous class on that?

[mj]

it's a cool subject but i've never seen any financial applications.

[Giulio]

http://www.amazon.com/Stochastic-Calculus-Variations-Mathematical-Finance/dp/3540434313/ref=tmm_hrd_title_0

this is rather specialized but has great applications to the field of estimating greeks of fin. derivatives..

right Mark?

[mj]

Malliavin calculus is certainly used in financial mathematics. This is the stochastic calculus version of the calculus of variations. However, i've never been very convinced that it buys you much.

[jameslattimer68]

I had http://www.topfinancebooks.com/stochastic-calculus-for-finance-ii-continuous-time-models-springer-finance-v-2/ this is a nice book as well.