Malliavin Calculus in Finance (ePub)
Theory and Practice
(Sprache: Englisch)
This book introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and...
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This book introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on SV modeling.
Autoren-Porträt von Elisa Alos, David Garcia Lorite
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.
Bibliographische Angaben
- Autoren: Elisa Alos , David Garcia Lorite
- 2021, 1. Auflage, 350 Seiten, Englisch
- Verlag: Taylor & Francis
- ISBN-10: 100040353X
- ISBN-13: 9781000403534
- Erscheinungsdatum: 13.07.2021
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eBook Informationen
- Dateiformat: ePub
- Grösse: 2.19 MB
- Ohne Kopierschutz
- Vorlesefunktion
Sprache:
Englisch
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