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| dc.contributor.author | Kohatsu-Higa, Arturo |
| dc.contributor.author | Miquel, Montero |
| dc.contributor.other | Universitat Pompeu Fabra. Departament d'Economia i Empresa |
| dc.date.accessioned | 2012-07-11T02:07:19Z |
| dc.date.available | 2012-07-11T02:07:19Z |
| dc.date.issued | 2005-09-15T23:34:16Z |
| dc.identifier.uri | http://hdl.handle.net/10230/462 |
| dc.description.abstract | This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index. |
| dc.language.iso | eng |
| dc.rights.uri | Aquest document està subjecte a una llicència d'ús de Creative Commons, amb la qual es permet copiar, distribuir i comunicar públicament l'obra sempre que se'n citin l'autor original, la universitat i el departament i no se'n faci cap ús comercial ni obra derivada, tal com queda estipulat en la llicència d'ús (http://creativecommons.org/licenses/by-nc-nd/2.5/es/) |
| dc.subject.other | Malliavin claculus, computational finance, Greeks, Monte Carlo methods, kernel density method |
| dc.title | Malliavin Calculus in Finance |
| dc.type | info:eu-repo/semantics/workingPaper |
| dc.date.modified | 2012-07-10T07:27:31Z |
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