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Malliavin calculus in finance
Kohatsu, Arturo; Miquel, Montero
Universitat Pompeu Fabra. Departament d'Economia i Empresa
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 anextension of the Vega index called the local vega index.
2005-09-15
Statistics, Econometrics and Quantitative Methods
malliavin claculus
computational finance
greeks
monte carlo methods
kernel density method
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Working Paper
         

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