Malliavin calculus in finance. Theory and practice. With a foreword by Dariusz Gatarek
DOI10.1201/9781003018681zbMATH Open1476.91003MaRDI QIDQ5147682FDOQ5147682
Authors: David García Lorite, Elisa Alòs 
Publication date: 27 January 2021
Recommendations
option pricingquantitative financestochastic financevolatility modellinglocal, stochastic and rough volatilitiesMallivin calculus
Derivative securities (option pricing, hedging, etc.) (91G20) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02)
Cited In (11)
- On the Skew and Curvature of the Implied and Local Volatilities
- On the Implied Volatility of Asian Options Under Stochastic Volatility Models
- Continuation value computation using Malliavin calculus under general volatility stochastic process for American option pricing
- Short time behavior of the ATM implied skew in the ADO-Heston model
- Differentiability in infinite dimension and the Malliavin calculus
- On the difference between the volatility swap strike and the zero vanna implied volatility
- Option pricing in sandwiched Volterra volatility model
- Monotonicity of implied volatility for perpetual put options
- Title not available (Why is that?)
- Analysis, Geometry, and Modeling in Finance
- CVA in fractional and rough volatility models
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