Malliavin Calculus in Finance

Theory and Practice

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

$96.99

Paperback

Not in-store but you can order this
How long will it take?

Availability Information

We source books from suppliers in Australia and overseas. For books we don't currently have in stock, the time it takes to get them from our suppliers can vary widely - from a few days to a few months - so we check each book with each supplier to determine the expected time it will take to be supplied to us.

We then advise you accordingly. If the time taken to get any book is too long for you, you can let us know and we will cancel or adjust your order, and refund as required.

To find out the anticipated arrival time for specific items prior to ordering, please contact us by phone or email:

Phone +61 2 9264 3111, or 1800 4 BOOKS (1800 4 26657) if outside Sydney:
option 1 Abbey's Bookshop (Crime, History, Science, Kids & more) • info@abbeys.com.au
option 2 Language Book Centre (ESL & Foreign Languages) • language@abbeys.com.au
option 3 Galaxy Bookshop (Sci-fi, Fantasy, Romance, Graphic Novels) • sf@galaxybooks.com.au

QTY:

English

Chapman & Hall/CRC
24 July 2023

Finance; Calculus & mathematical analysis

Series: Chapman and Hall/CRC Financial Mathematics Series

Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus.

Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain random variables, it has proved to be a useful tool in many other problems. In particular, it has found applications in quantitative finance, as in the computation of hedging strategies or the efficient estimation of the Greeks.

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.

Features

Intermediate-advanced level text on quantitative finance, oriented to practitioners with a basic background in stochastic analysis, which could also be useful for researchers and students in quantitative finance

Includes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scripts

Covers applications on vanillas, forward start options, and options on the VIX.

The book also has a Github repository with the Python library corresponding to the numerical examples in the text. The library has been implemented so that the users can re-use the numerical code for building their examples. The repository can be accessed here: https://bit.ly/2KNex2Y.

By: Elisa Alos (Universitat Pompeu Frabra Spain), David Garcia Lorite
Imprint: Chapman & Hall/CRC
Country of Publication: United Kingdom
Dimensions: Height: 234mm, Width: 156mm,
Weight: 453g
ISBN: 9780367863258
ISBN 10: 0367863251
Series: Chapman and Hall/CRC Financial Mathematics Series
Pages: 350
Publication Date: 24 July 2023
Audience: Professional and scholarly , Undergraduate
Format: Paperback
Publisher's Status: Active

Elisa Alòs holds a Ph.D. in Mathematics from the University of Barcelona. She is an Associate Professor in the Department of Economics and Business at Universitat Pompeu Fabra (UPF) and a Barcelona GSE Affiliated Professor. In the last fourteen years, her research focuses on the applications of the Malliavin calculus and the fractional Brownian motion in mathematical finance and volatility modeling. David Garcia Lorite currently works in Caixabank as XVA quantitative analyst and he is doing a Ph.D. at Universidad de Barcelona under the guidance of Elisa Alòs with a focus in Malliavin calculus with application to finance. For the last fourteen years, he has worked in the financial industry in several companies but always working with hybrid derivatives. He has also strong computational skills and he has implemented several quantitative and not quantitative libraries in different languages throughout his career.

Reviews for Malliavin Calculus in Finance: Theory and Practice

"""Malliavin calculus, alongside Ito calculus, is emerging as a vital tool for researchers in the area of financial engineering. This book provides an unprecedented and balanced account, taking the reader from theoretical foundations to practical applications, including state-of-the-art research topics like rough volatility and VIX option skew."" – Colin Turfus ""This book is a very valuable addition to the existing literature, demonstrating that the cutting-edge research in Mathematical Finance doesn't have to be far from commonly accepted quant practice."" – Vladimir Lucic, Visiting Professor, Dept. of Mathematics, Imperial College London"