Perturbation analysis and Malliavin calculus

Perturbation Analysis and Malliavin Calculus

Using the Malliavin calculus, we give a uniied treatment of the so-called perturbation analysis of dynamic systems. Several applications are also given.

Malliavin Greeks without Malliavin Calculus

We derive and analyze Monte Carlo estimators of price sensitivities (“Greeks”) for contingent claims priced in a diffusion model. There have traditionally been two categories of methods for estimating sensitivities: methods that differentiate paths and methods that differentiate densities. A more recent line of work derives estimators through Malliavin calculus. The purpose of this article is t...

Statistical inference and Malliavin calculus∗

The derivative of the log-likelihood function, known as score function, plays a central role in parametric statistical inference. It can be used to study the asymptotic behavior of likelihood and pseudo-likelihood estimators. For instance, one can deduce the local asymptotic normality property which leads to various asymptotic properties of these estimators. In this article we apply Malliavin C...

Malliavin Calculus in Finance

This 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.

Malliavin calculus and its applications