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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?

- vkaul1
**Posts:**20**Joined:**Thu Aug 06, 2009 10:19 pm

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

- mj
- Site Admin
**Posts:**1344**Joined:**Fri Jul 27, 2007 7:21 am

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?

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

right Mark?

- Giulio
**Posts:**9**Joined:**Thu Nov 05, 2009 6:29 pm

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.

- mj
- Site Admin
**Posts:**1344**Joined:**Fri Jul 27, 2007 7:21 am

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