Paper #672

Title:

Malliavin calculus in finance

Authors:

Arturo Kohatsu and Montero Miquel

Date:

April 2003

Abstract:

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.

Keywords:

Malliavin claculus, computational finance, Greeks, Monte Carlo methods, kernel density method

JEL codes:

C630, G120

Area of Research:

Statistics, Econometrics and Quantitative Methods

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