Stochastic Calculus of Variations in Mathematical Finance

Malliavin calculus provides an infinite-dimensional differential calculus in the context of continuous paths shastic processes. The calculus includes formulae of integration by parts and Sobolev spaces of differentiable functions defined on a probability space. This new book, demonstrating the relevance of Malliavin calculus for Mathematical Finance, starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integrat...