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Malliavin calculus in finance : theory and practice

紀錄類型:	書目-語言資料,印刷品 : 單行本
副題名:	theory and practice
作者:	AlòsElisa,
合作者:	LoriteDavid Garcia,
其他作者:	GatarekDariusz,
出版地:	Boca Raton
出版者:	CRC Press, Taylor & Francis Group;
出版年:	2021
面頁冊數:	xxii, 327 p.ill. : 24 cm.;
集叢名:	Chapman & Hall/CRC financial mathematics series
標題:	Finance - Mathematical models -
標題:	Malliavin calculus. -
標題:	Stochastic analysis. -
摘要註:	"Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. 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. Features Intermediate-advanced level text on quantitative finance, oriented to practitioners with a basic background in stochastic analysis, which could also be useful for researchers and students in quantitative finance Includes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scripts Covers applications on vanillas, forward start options, and options on the VIX. The book also has a Github repository with the Python library corresponding to the numerical examples in the text. The library has been implemented so that the users can re-use the numerical code for building their examples. The repository can be accessed here: https://bit.ly/2KNex2Y"--Provided by publisher
ISBN:	978-0-367-89344-6bound

Malliavin calculus in finance : theory and practice
Alòs, Elisa

Malliavin calculus in finance : theory and practice / Elisa Alòs, David Garcia Lorite ; foreword by Dariusz Gatarek - Boca Raton : CRC Press, Taylor & Francis Group, 2021. - xxii, 327 p. ; ill. ; 24 cm.. - (Chapman & Hall/CRC financial mathematics series).
Includes bibliographical references (p. 303-322) and index..
ISBN 978-0-367-89344-6
FinanceMalliavin calculus.Stochastic analysis. -- Mathematical models

Lorite, David Garcia

Gatarek, Dariusz

Malliavin calculus in finance : theory and practice
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330 $a "Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. 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. Features Intermediate-advanced level text on quantitative finance, oriented to practitioners with a basic background in stochastic analysis, which could also be useful for researchers and students in quantitative finance Includes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scripts Covers applications on vanillas, forward start options, and options on the VIX. The book also has a Github repository with the Python library corresponding to the numerical examples in the text. The library has been implemented so that the users can re-use the numerical code for building their examples. The repository can be accessed here: https://bit.ly/2KNex2Y"--Provided by publisher
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