Malliavin calculus in finance
AbstractThis 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Economics and Business, Universitat Pompeu Fabra in its series Economics Working Papers with number 672.
Date of creation: Apr 2003
Date of revision:
Contact details of provider:
Web page: http://www.econ.upf.edu/
Malliavin claculus; computational finance; Greeks; Monte Carlo methods; kernel density method;
Find related papers by JEL classification:
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Mark Broadie & Paul Glasserman, 1996. "Estimating Security Price Derivatives Using Simulation," Management Science, INFORMS, INFORMS, vol. 42(2), pages 269-285, February.
- Guillaume Bernis & Emmanuel Gobet & Arturo Kohatsu-Higa, 2003. "Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 13(1), pages 99-113.
- Naoto Kunitomo & Akihiko Takahashi, 2001. "The Asymptotic Expansion Approach to the Valuation of Interest Rate Contingent Claims," Mathematical Finance, Wiley Blackwell, Wiley Blackwell, vol. 11(1), pages 117-151.
- Arturo Kohatsu & Roger Pettersson, 2002. "Variance reduction methods for simulation of densities on Wiener space," Economics Working Papers 597, Department of Economics and Business, Universitat Pompeu Fabra.
- Boyle, Phelim & Potapchik, Alexander, 2008. "Prices and sensitivities of Asian options: A survey," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 189-211, February.
- Nicola Cufaro Petroni & Piergiacomo Sabino, 2011. "Multidimensional Quasi-Monte Carlo Malliavin Greeks," Papers 1103.5722, arXiv.org.
- LeÃ£o, Dorival & Ohashi, Alberto, 2012. "Weak Approximations for Wiener Functionals," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_276, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Nicola Cufaro Petroni & Piergiacomo Sabino, 2013. "Multidimensional quasi-Monte Carlo Malliavin Greeks," Decisions in Economics and Finance, Springer, Springer, vol. 36(2), pages 199-224, November.
- LeÃ£o, Dorival & Ohashi, Alberto, 2010. "Weak Approximations for Wiener Functionals," Insper Working Papers, Insper Working Paper, Insper Instituto de Ensino e Pesquisa wpe_215, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
- Chen, Nan & Glasserman, Paul, 2007. "Malliavin Greeks without Malliavin calculus," Stochastic Processes and their Applications, Elsevier, Elsevier, vol. 117(11), pages 1689-1723, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().
If references are entirely missing, you can add them using this form.