Malliavin Calculus In Finance: Theory And Practice (Chapman And Hall/Crc Financial Mathematics Series)

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 Alã²S, David Garcia Lorite
• | Publisher: Chapman and Hall/CRC
• | Publication Date: July 14, 2021
• | Number of Pages: 350 pages
• | Language: English
• | Binding: Hardcover
• | ISBN-10: 0367893444
• | ISBN-13: 9780367893446