**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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