An Introduction to Malliavin Calculus
نویسنده
چکیده
منابع مشابه
Malliavin Calculus in Finance
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.
متن کاملElementary introduction to Malliavin calculus and advanced Monte- Carlo methods II
The aim of these lectures is to provide an elementary introduction to Hörmanders famous results on linear diffusion equations from a probabilistic point of view, and to show how these results can be applied to computational finance in the context of advanced Monte-Carlo methods of diffusion models with stochastic volatility. The lectures are aimed at an audience with some modest knowledge of st...
متن کاملMalliavin Calculus applied to Finance
In this article, we give a brief informal introduction to Malliavin Calculus for newcomers. We apply these ideas to the simulation of Greeks in Finance. First to European-type options where formulas can be computed explicitly and therefore can serve as testing ground. Later we study the case of Asian options where close formulas are not available, and we also open the view for including more ex...
متن کاملWick Calculus For Nonlinear Gaussian Functionals
This paper surveys some results on Wick product and Wick renormalization. The framework is the abstract Wiener space. Some known results on Wick product and Wick renormalization in the white noise analysis framework are presented for classical random variables. Some conditions are described for random variables whose Wick product or whose renormalization are integrable random variables. Relevan...
متن کاملStein Meets Malliavin in Normal Approximation
Stein’s method is a method of probability approximation which hinges on the solution of a functional equation. For normal approximation, the functional equation is a first-order differential equation. Malliavin calculus is an infinite-dimensional differential calculus whose operators act on functionals of general Gaussian processes. Nourdin and Peccati (Probab. Theory Relat. Fields 145(1–2), 75...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2008