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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