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Malliavin Calculus in Finance
ISBN/GTIN

Malliavin Calculus in Finance

Theory and Practice
BuchGebunden
CHF167.00

Beschreibung

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.
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Details

ISBN/GTIN978-1-032-63630-6
ProduktartBuch
EinbandGebunden
ErscheinungslandUSA
Erscheinungsdatum23.12.2024
Auflage2. A.
ReiheChapman and Hall/CRC Financial Mathematics Series
Seiten384 Seiten
SpracheEnglisch
MasseBreite 156 mm, Höhe 234 mm
IllustrationenFarb., s/w. Abb.
Artikel-Nr.32746302
KatalogBuchzentrum
Datenquelle-Nr.47236497
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Reihe

Autor

Elisa Alòs holds a Ph.D. in Mathematics from the University of Barcelona. She is an Associate Professor in the Department of Economics and Business at Universitat Pompeu Fabra (UPF) and a Barcelona GSE Affiliated Professor. In the last fourteen years, her research focuses on the applications of the Malliavin calculus and the fractional Brownian motion in mathematical finance and volatility modeling.

David Garcia Lorite currently works in Caixabank as XVA quantitative analyst and he is doing a Ph.D. at Universidad de Barcelona under the guidance of Elisa Alòs with a focus in Malliavin calculus with application to finance. For the last fourteen years, he has worked in the financial industry in several companies but always working with hybrid derivatives. He has also strong computational skills and he has implemented several quantitative and not quantitative libraries in different languages throughout his career.