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Malliavin Calculus in Finance: Theory and Practice
Paperback
Series: Chapman and Hall/CRC Financial Mathematics
Investing & FinanceCalculusGeneral Mathematics
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ISBN13: 9780367863258
Publisher: Crc Pr Inc
Published: Jul 24 2023
Pages: 350
Weight: 1.08
Height: 0.73 Width: 6.14 Depth: 9.21
Language: English
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.
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