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Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That

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  • Peter B. Lerner

Abstract

The extremely useful method of Malliavin calculus has not yet gained adequate popularity because of the complicated analytic apparatus of this method. The author attempts here to propose a simplified algebraic formalism similar to Malliavin calculus, but based on the notion of creation-annihilation operators instead of Malliavin derivative to replace analytic theorems with algebraic computations. Three test problems: the valuation of portfolio with stochastic payoff function, the expression of the terminal payoff through stochastic integral and the approximate equation for the high-frequency market measure are discussed in Appendices.

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  • Peter B. Lerner, 2014. "Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That," Papers 1411.2950, arXiv.org, revised Jul 2016.
    • Handle: RePEc:arx:papers:1411.2950
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    1. Amir H. Alizadeh & Nikos K. Nomikos, 2009. "Shipping Derivatives and Risk Management," Palgrave Macmillan Books, Palgrave Macmillan, number 978-0-230-23580-9, May.
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