SEMINARIO DE MATEMÁTICA APLICADA

INTRODUCTION TO MALLIAVIN
CALCULUS WITH GREEKS

SPEAKER: Gustavo Ito Loayza

(UCM)

Thursday, 7 March 2019 - 17:30
Aula 320, Departamento de Matemáticas, UAM

ABSTRACT: The purpose of this exposition is to give a basic
introduction to Malliavin Calculus and its applications within the
area of Monte Carlo simulations in Finance.
Instead of giving a general exposition about this theory we will
concentrate on one application. That is, the Monte Carlo
calculation of financial sensitivity quantities called "Greeks"
where the integration by parts of Malliavin Calculus can be
successfully used.
Greeks are the general name given to any derivative of a financial
quantity with respect to any of its underlying parameters.

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