Paper #672

Título:

Malliavin calculus in finance

Autores:

Arturo Kohatsu y Montero Miquel

Data:

Abril 2003

Resumen:

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.

Palabras clave:

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

Códigos JEL:

C630, G120

Área de investigación:

Estadística, Econometría y Métodos Cuantitativos

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