Malliavin Calculus in Finance
theory and practice
$192.71
- Hardcover
368 pages
- Release Date
23 December 2024
Summary
Mastering Malliavin Calculus for Financial Applications
Malliavin Calculus in Finance: Theory and Practice, Second Edition introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Originally motivated by the study of the existence of smooth densities of certain random variables, Malliavin calculus has had a profound impact on stochastic analysis. In particular, it has been found to be an effective tool in quantitative finance, as in the comp…
Book Details
| ISBN-13: | 9781032636306 |
|---|---|
| ISBN-10: | 1032636300 |
| Series: | Chapman and Hall/CRC Financial Mathematics Series |
| Author: | Elisa Alos, David Garcia Lorite |
| Publisher: | Taylor & Francis Ltd |
| Imprint: | Chapman & Hall/CRC |
| Format: | Hardcover |
| Number of Pages: | 368 |
| Edition: | 2nd |
| Release Date: | 23 December 2024 |
| Weight: | 890g |
| Dimensions: | 234mm x 156mm |
About The Author
Elisa Alos
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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