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Malliavin Calculus in Finance: Theory and Practice (Hardcover) (ISBN-13: 9781032636306)
Vendor:
Elisa Alos
Product type:
Books
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Description
xThis 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.
Author: Elisa Alos,David Garcia Lorite
ISBN-10: 1032636300
ISBN-13: 9781032636306
Publisher: CRC Press
Language: English
Published: 12/23/2024
Pages: 368
Format: Hardcover
Weight: 1.60lbs
Size: 9.21h x 6.14w x 0.88d
By Elisa Alos
xElisa 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.
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