In this paper, we develop a new method based on the Malliavin calculus to approximate the convexity adjustment for various classical interest rate products. Malliavin calculus provides a simple way to ...
UK – Data analytics business Malliavin Marketing Sciences has developed a data integration platform for qualitative researchers. The ‘Big Qual’ platform is method-agnostic and brings together ...
I show how the Malliavin calculus can be used to overcome the specific difficulties introduced by the averaging behavior of Asian options. Whereas previous applications of the Mallivin calculus to the ...
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