Malliavin Calculus in Finance: Theory and Practice

Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models...
$490.75 AUD
$490.75 AUD
SKU: 9780367893446
Product Type: Books
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Author: Elisa Alos
Format: Hardcover
Language: English
Subtotal: $490.75
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Malliavin Calculus in Finance: Theory and Practice by Alos, Elisa

Malliavin Calculus in Finance: Theory and Practice

$490.75

Malliavin Calculus in Finance: Theory and Practice

$490.75
Author: Elisa Alos
Format: Hardcover
Language: English

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.


  • Author: Elisa Alos, David Garcia Lorite
    Publisher: CRC Press
    Published: 07/14/2021
    Pages: 328
    Binding Type: Hardcover
    Weight: 1.47lbs
    Size: 9.21h x 6.14w x 0.81d
    ISBN: 9780367893446

    About the Author

    Elisa Alòs holds a Ph.D. in Mathematics from the University of Barcelona. She is an Associate Professor in the Department of Economics and Business at Universitat Pompeu Fabra (UPF) and a Barcelona GSE Affiliated Professor. In the last fourteen years, her research focuses on the applications of the Malliavin calculus and the fractional Brownian motion in mathematical finance and volatility modeling.

    David Garcia Lorite currently works in Caixabank as XVA quantitative analyst and he is doing a Ph.D. at Universidad de Barcelona under the guidance of Elisa Alòs with a focus in Malliavin calculus with application to finance. For the last fourteen years, he has worked in the financial industry in several companies but always working with hybrid derivatives. He has also strong computational skills and he has implemented several quantitative and not quantitative libraries in different languages throughout his career.




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