Malliavin calculus
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The Malliavin calculus, named after Paul Malliavin, is a theory of variational stochastic calculus, in other words it provides the mechanics to compute derivatives of random variables. A useful feature is the ability to perform integration by parts on random variables. Major uses are in financial mathematics to compute sensitivities of financial derivatives (also known as the Greeks).
External links
- Bernt Oksendal. An Introduction To Malliavin Calculus With Applications To Economics (http://www.nhh.no/for/dp/1996/wp0396.pdf)
- Peter K. Friz. An Introduction to Malliavin Calculus (http://www.math.nyu.edu/phd_students/frizpete/malliavin/mall.pdf)Template:Maths-stub