Malliavin calculus in finance. Theory and practice. With a foreword by Dariusz Gatarek

DOI10.1201/9781003018681MaRDI QIDQ5147682zbMATH OpenFDO

Authors David García Lorite, Elisa Alòs

Publication date 27 January 2021

Full work available at URL https://doi.org/10.1201/9781003018681

zbMATH Keywords

local, stochastic and rough volatilitiesMallivin calculusoption pricingquantitative financestochastic financevolatility modelling

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Stochastic calculus of variations and the Malliavin calculus (60H07) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Derivative securities (option pricing, hedging, etc.) (91G20)

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• Option pricing in sandwiched Volterra volatility model
• A fractional stochastic differential equation with discontinuous diffusion driven by fBm with Hurst parameter less than 1/2
• On the implied volatility of inverse options under stochastic volatility models
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• On the implied volatility of European and Asian call options under the stochastic volatility Bachelier model
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