Malliavin Calculus in Finance
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Published By Chapman And Hall/CRC

9781003018681
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A primer on Malliavin Calculus

2021 ◽  
pp. 57-72
Author(s):  
Elisa Alòs ◽  
David García Lorite
Keyword(s):  
Malliavin Calculus

Key tools in Malliavin Calculus

2021 ◽  
pp. 73-110
Author(s):  
Elisa Alòs ◽  
David García Lorite
Keyword(s):  
Malliavin Calculus

Options with random strikes and the forward smile

2021 ◽  
pp. 249-280
Author(s):  
Elisa Alòs ◽  
David García Lorite

The ATM short-time curvature

2021 ◽  
pp. 215-246
Author(s):  
Elisa Alòs ◽  
David García Lorite
Keyword(s):  
Short Time

The ATM short-time skew

2021 ◽  
pp. 185-214
Author(s):  
Elisa Alòs ◽  
David García Lorite
Keyword(s):  
Short Time

Options on the VIX

2021 ◽  
pp. 281-302
Author(s):  
Elisa Alòs ◽  
David García Lorite

The volatility process

2021 ◽  
pp. 25-54
Author(s):  
Elisa Alòs ◽  
David García Lorite

The option pricing problem

2021 ◽  
pp. 3-24
Author(s):  
Elisa Alòs ◽  
David García Lorite
Keyword(s):  
Option Pricing

The ATM short-time level of the implied volatility

2021 ◽  
pp. 133-184
Author(s):  
Elisa Alòs ◽  
David García Lorite
Keyword(s):  
Implied Volatility ◽  
Time Level ◽  
Short Time
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