{"product_id":"malliavin-calculus-in-finance","title":"Malliavin Calculus in Finance","description":"\u003cp\u003e\u003cb\u003e\u003ci\u003eMalliavin Calculus in Finance: Theory and Practice, Second Edition\u003c\/i\u003e\u003c\/b\u003e 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.\u003c\/p\u003e\u003cp\u003eThis 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.\u003c\/p\u003e\u003cp\u003e\u003cb\u003eFeatures\u003c\/b\u003e\u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eIntermediate-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\u003c\/li\u003e\n\u003cli\u003eIncludes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scripts\u003c\/li\u003e\n\u003cli\u003eCovers applications on vanillas, forward start options, and options on the VIX.\u003c\/li\u003e\n\u003cli\u003eThe 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.\u003c\/li\u003e\n\u003c\/ul\u003e\u003cp\u003e\u003cb\u003eNew to the Second Edition\u003c\/b\u003e\u003c\/p\u003e\u003cul\u003e\n\u003cli\u003eIncludes a new chapter to study implied volatility within the Bachelier framework.\u003c\/li\u003e\n\u003cli\u003eChapters 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.\u003c\/li\u003e\n\u003c\/ul\u003e","brand":"Taylor \u0026 Francis Ltd","offers":[{"title":"Default Title","offer_id":54232206377304,"sku":"9781032636306","price":117.99,"currency_code":"EUR","in_stock":true}],"thumbnail_url":"\/\/cdn.shopify.com\/s\/files\/1\/0278\/1295\/4195\/files\/9781032636306.jpg?v=1768303820","url":"https:\/\/agendabookshop.com\/products\/malliavin-calculus-in-finance","provider":"Agenda Bookshop","version":"1.0","type":"link"}