Malliavin Calculus in Finance: Theory and Practice

By Elisa Alos and David Garcia Lorite

Book Overview

This book introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. 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 SV modeling.

• Format: Paperback
• Language: English
• ISBN: 0367863251
• ISBN13: 9780367863258
• Release Date: July 2023
• Publisher: CRC Press
• Length: 350 Pages
• Weight: 1.08 lbs.
• Dimensions: 0.7" x 6.1" x 9.2"