Elisa Alos, David Garcia Lorite

eBook, PDF

Malliavin Calculus in Finance (eBook, PDF)

Theory and Practice

Beschreibung

Malliavin Calculus in Finance: Theory and Practice, Second Edition introduces the study of stochastic volatility (SV) models via Malliavin Calculus. Originally motivated by the study of the existence of smooth densities of certain random variables, Malliavin calculus has had a profound impact on stochastic analysis. In particular, it has been found to be an effective tool in quantitative finance, as in the computation of hedging strategies or the efficient estimation of the Greeks.

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.

Features

• Intermediate-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 finance
• Includes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scripts
• Covers 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. The repository can be accessed here: https://bit.ly/2KNex2Y.

New to the Second Edition

• Includes a new chapter to study implied volatility within the Bachelier framework.
• Chapters 7 and 8 have been thoroughly updated to introduce a more detailed discussion on the relationship between implied and local volatilities, according to the new results in the literature.

Technische Details

• Geräte: PC
• mit Kopierschutz

Barrierefreiheit

• Text-to-Speech
• E-Mail des Verlags für Barrierefreiheitsfragen: [e-mail]
• Keine oder unzureichende Informationen zur Barrierefreiheit

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.

Produktdetails

• Verlag: Taylor & Francis eBooks
• Seitenzahl: 394
• Erscheinungstermin: 23. Dezember 2024
• Englisch
• ISBN-13: 9781040262993
• Artikelnr.: 72523953

Rezensionen

"Malliavin calculus, alongside Ito calculus, is emerging as a vital tool for researchers in the area of financial engineering. This book provides an unprecedented and balanced account, taking the reader from theoretical foundations to practical applications, including state-of-the-art research topics like rough volatility and VIX option skew."
- Colin Turfus

"This book is a very valuable addition to the existing literature, demonstrating that the cutting-edge research in Mathematical Finance doesn't have to be far from commonly accepted quant practice."
- Vladimir Lucic, Visiting Professor, Dept. of Mathematics, Imperial College London

"The book is an excellent

guide to the applications of the Malliavin calculus to finance. Starting with classical questions of non-arbitrage pricing and the Black-Scholes formula, the authors smoothly continue with volatility processes, studying, in particular, implied, spot and local volatilities. Various models with stochastic volatilities are considered, including models based on fractional Brownian motion and rough volatilities. Variance swaps and the VIX, volatility, and other types of swaps are studied. Then the main tools of Malliavin calculus are presented, together with applications of Malliavin calculus to the implied volatility surface and the implied volatility of non-vanilla options. So, the book is very promising for both mathematicians and practitioners and both mathematicians and practitioners will enjoy the beauty of the mathematical description of the world of real finance."
- Yuliya Mishura, Taras Shevchenko National University of Kyiv