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Название: Malliavin Calculus in Finance: Theory and Practice
Автор: Elisa Al?s, David Garc?a Lorite
Издательство: Chapman and Hall/CRC
Год: 2021
Формат: PDF
Страниц: 350
Для сайта: Mirknig.su
Размер: 10 mb
Язык: English
Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain random variables, it has proved to be a useful tool in many other problems. In particular, it has found applications in quantitative finance, as in the computation of hedging strategies or the efficient estimation of the Greeks.
The objective of this book is to offer a bridge between theory and practice. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on stochastic volatility modeling related to the vanilla, the forward, and the VIX implied volatility surfaces. It can be applied to local, stochastic, and also to rough volatilities (driven by a fractional Brownian motion) leading to simple and explicit results.
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Автор: siburit 28-05-2021, 08:47 | Напечатать |
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Malliavin Calculus in Finance: Theory and Practice 
