calculus of variations

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calculus of variations

Postby vkaul1 » Thu Nov 12, 2009 4:53 pm

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?
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Re: calculus of variations

Postby mj » Thu Nov 12, 2009 11:32 pm

it's a cool subject but i've never seen any financial applications.
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Re: calculus of variations

Postby Giulio » Tue Feb 02, 2010 2:34 pm

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?
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Re: calculus of variations

Postby mj » Tue Feb 02, 2010 10:41 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.
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