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.
- | Author: Elisa Alòs, David Garcia Lorite, Dariusz Gatarek
- | Publisher: Chapman And Hall/Crc
- | Publication Date: Jul 24, 2023
- | Number of Pages: 350 pages
- | Language: English
- | Binding: Paperback
- | ISBN-10: 0367863251
- | ISBN-13: 9780367863258
