BIBFRAME Work

Title

Malliavin calculus in finance

Type

  • Monograph
  • Text

Contribution

Subject

Language

Classification

Content

Supplementary content

Summary

"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"-- Provided by publisher.

Table of Contents

The option pricing problem -- The volatility process -- A primer on Malliavin calculus -- Key tools in Malliavin calculus -- Fractional Brownian motion and rough volatilities -- The ATM short-time level of the implied volatility -- The ATM short-time skew -- The ATM short-time curvature -- Options with random strikes and the forward smile -- Options on the VIX -- The Bachelier implied volatility.

Authorized Access Point

Alòs, Elisa. Malliavin calculus in finance

Admin Metadata

  • Date: 2026-09-11T20:21:23.743422+00:00
  • Agent: cbc
  • Status: c
  • Derived from: 23943141

Admin Metadata

  • Date: 2026-09-11
  • Cataloger id: Unknown
  • Description level: http://id.loc.gov/ontologies/bibframe-2-6-0/
  • Description language: eng
  • Description authentication: pcc

Alternative Formats

Blue Core Actions

  • Load to Marva Marva loads Instances, not Works. Open one of this Work's Instances and load that into Marva instead.
  • Load to Sinopia
  • Export to Catalog Only Instances can be exported. Open one of this Work's Instances and export that instead.