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Fractional Smoothness and Applications in Finance

In: Advanced Mathematical Methods for Finance

Author

Listed:
  • Stefan Geiss

    (University of Innsbruck, Department of Mathematics)

  • Emmanuel Gobet

    (Université de Grenoble and CNRS, Laboratoire Jean Kuntzmann)

Abstract

This overview article concerns the notion of fractional smoothness of random variables of the form g(X T ), where X=(X t ) t∈[0,T] is a certain diffusion process. We review the connection to the real interpolation theory, give examples and applications of this concept. The applications in stochastic finance mainly concern the analysis of discrete-time hedging errors. We close the review by indicating some further developments.

Suggested Citation

  • Stefan Geiss & Emmanuel Gobet, 2011. "Fractional Smoothness and Applications in Finance," Springer Books, in: Giulia Di Nunno & Bernt Øksendal (ed.), Advanced Mathematical Methods for Finance, chapter 0, pages 313-331, Springer.
    • Handle: RePEc:spr:sprchp:978-3-642-18412-3_12
    DOI: 10.1007/978-3-642-18412-3_12
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