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Malliavin Calculus in Finance

By: Spain) Alos Elisa (Universitat Pompeu Frabra (Author) , David Garcia Lorite (Author)

2 in stock

Ksh 11,050.00

Format: Paperback or Softback

ISBN-13: 9780367863258

Publisher: Taylor & Francis Ltd

Publication Date: Jul 24th, 2023

Dimension: 23.40 x 15.60 x 65.00 cms

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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.

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