Malliavin calculus in finance

Welcome to the UPF Digital Repository

Kohatsu, Arturo; Miquel, Montero. Malliavin calculus in finance. 2003
To cite or link this document: Kohatsu, Arturo Miquel, Montero
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa 2003-04-01
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.relation.ispartofseries Economics and Business Working Papers Series; 672
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.title Malliavin calculus in finance
dc.type info:eu-repo/semantics/workingPaper 2014-06-03T07:14:08Z
dc.subject.keyword Statistics, Econometrics and Quantitative Methods
dc.subject.keyword malliavin claculus
dc.subject.keyword computational finance
dc.subject.keyword greeks
dc.subject.keyword monte carlo methods
dc.subject.keyword kernel density method
dc.rights.accessRights info:eu-repo/semantics/openAccess

See full text
This document is licensed under a Creative Commons license:


Advanced Search


My Account