Malliavin Calculus in Finance
Theory and Practice
Author: Elisa Alos and David Garcia Lorite Series: Chapman and Hall/CRC Financial Mathematics Series
This book aims to bridge the gap between theory and practice and demonstrate the practical value of Malliavin calculus. It offers readers the chance to discover an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on stochastic volatility modeling.
Hardcover
PRODUCT INFORMATION
Summary
This book aims to bridge the gap between theory and practice and demonstrate the practical value of Malliavin calculus. It offers readers the chance to discover an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on stochastic volatility modeling.
Description
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 computation of hedging strategies or the efficient estimation of the Greeks.
This book aims to bridge the gap between theory and practice and demonstrate the practical value of Malliavin calculus. It offers readers the chance to discover 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:
New to the Second Edition
- Includes a new chapter to study implied volatility within the Bachelier framework.
- Chapters 7 and 8 have been thoroughly updated to introduce a more detailed discussion on the relationship between implied and local volatilities, according to the new results in the literature.
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.
Product Details
Returns
This item is eligible for free returns within 30 days of delivery. See our returns policy for further details.
Browse by category
- Books » Non-Fiction » Science & Maths » Mathematics » Calculus & mathematical analysis » Calculus
- Books
- Books » Non-Fiction
- Books » Non-Fiction » Science & Maths
- Books » Non-Fiction » Science & Maths » Mathematics
- Books » Non-Fiction » Science & Maths » Mathematics » Calculus & mathematical analysis
- Books » Non-Fiction » Science & Maths » Mathematics » Applied mathematics » Mathematical modelling
- Books » Non-Fiction » Science & Maths » Mathematics » Applied mathematics
- Books » Non-Fiction » Science & Maths » Mathematics » Applied mathematics » Stochastics
- Books » Non-Fiction » Science & Maths » Mathematics » Discrete mathematics
- Books » Non-Fiction » Science & Maths » Mathematics » Probability & statistics
