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Paper #672

Títol:
Malliavin calculus in finance
Autors:
Arturo Kohatsu i Montero Miquel
Data:
Abril 2003
Resum:
This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index.
Paraules clau:
Malliavin claculus, computational finance, Greeks, Monte Carlo methods, kernel density method
Codis JEL:
C630, G120
Àrea de Recerca:
Estadística, Econometria i Mètodes Quantitatius

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