David Garcia Lorite's Books

Malliavin Calculus in Finance

Theory and Practice

By: Elisa Alos,David Garcia Lorite

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Malliavin Calculus in Finance

Theory and Practice

By: Elisa Alos,David Garcia Lorite

Malliavin Calculus in Finance: Theory and Practice aims to introduce the study of stochastic volatility (SV) models via Malliavin Calculus. Malliavin calculus has had a profound impact on stochastic analysis. Originally motivated by the study of the existence of smooth densities of certain random variables, it has proved to be a useful tool in many other problems. In particular, it has found applications in quantitative finance, as in the computation of hedging strategies or the efficient estimation of the Greeks. The objective of this book is to offer a bridge between theory and practice. It shows that Malliavin calculus is an easy-to-apply tool that allows us to recover, unify, and generalize several previous results in the literature on stochastic volatility modeling related to the vanilla, the forward, and the VIX implied volatility surfaces. It can be applied to local, stochastic, and also to rough volatilities (driven by a fractional Brownian motion) leading to simple and explicit results. Features Intermediate-advanced level text on quantitative finance, oriented to practitioners with a basic background in stochastic analysis, which could also be useful for researchers and students in quantitative finance Includes examples on concrete models such as the Heston, the SABR and rough volatilities, as well as several numerical experiments and the corresponding Python scripts Covers applications on vanillas, forward start options, and options on the VIX. The book also has a Github repository with the Python library corresponding to the numerical examples in the text. The library has been implemented so that the users can re-use the numerical code for building their examples. The repository can be accessed here: https://bit.ly/2KNex2Y.

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Page Count

350

Publisher

CRC Press

Published Date

ISBN 10

1000403513

ISBN 13

9781000403510

The Village and the Outside World in Golden Age Castile

Mobility and Migration in Everyday Rural Life

By: David E. Vassberg

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The Village and the Outside World in Golden Age Castile

Mobility and Migration in Everyday Rural Life

By: David E. Vassberg

This 1996 book, based upon a vast range of documentary and secondary sources, shatters the disproven but persistent myth of the closed immobile village in the early modern period. It demonstrates that even in traditionalist Castile, pre-industrial village society was highly dynamic, with continuous inter-village, inter-regional, and rural-urban migration. The book is rich in human detail, with many vignettes of everyday life. Professor Vassberg examines such topics as fairs and markets, the transportation infrastructure, rural artisans and craftsmen, relations with the state, and life-cycle service. The approach is interdisciplinary, and pays special attention to how rural families dealt with economic and social problems. The rural Castile that emerges is a complex society that defies easy generalizations, but one which is unquestionably part of the general European reality.

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Page Count

276

Publisher

Cambridge University Press

Published Date

ISBN 10

0521527139

ISBN 13

9780521527132

Malliavin Calculus in Finance

Theory and Practice

By: Elisa Alos,David Garcia Lorite

Write a review Read reviews Take a Quiz Solve Book Puzzle

Malliavin Calculus in Finance

Theory and Practice

By: Elisa Alos,David Garcia Lorite

Average ratings

N/A

Write a review

Solve jigsaw puzzle

Age

Page Count

350

Publisher

CRC Press

Published Date

ISBN 10

1000403513

ISBN 13

9781000403510

Book's by David Garcia Lorite

Malliavin Calculus in Finance

Malliavin Calculus in Finance

The Village and the Outside World in Golden Age Castile

The Village and the Outside World in Golden Age Castile

Malliavin Calculus in Finance

Malliavin Calculus in Finance

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