Malliavin Calculus In Finance (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 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