书籍Malliavin Calculus in Finance Theory and Practice (2021)

作者：Elisa Alos，David Garcia Lorite

出版时间：2021年7月

出版社：Chapman and Hall/CRC

内容简介：The objective of this book is to offer a bridge between theory and practice. 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 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.

格式：PDF