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.
1001 Calculus Practice Problems For Dummies Название: 1001 Calculus Practice Problems For Dummies Автор: Patrick Jones Издательство: John Wiley & Sons, Inc. Год: 2014 Формат: PDF Страниц:...
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Malliavin Calculus in Finance: Theory and Practice 
