E-Books →Malliavin Calculus in Finance (Chapman and HallCRC Financial Mathematics Series)

This book aims to bridge the gap between theory and practice and demonstrate the practical value of Malliavin calculus. It offers readers the chance to discover 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.
FeaturesIntermediate-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 financeIncludes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scriptsCovers 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.