Lectures on Malliavin calculus and its applications to finance

  title={Lectures on Malliavin calculus and its applications to finance},
  author={Eulalia Nualart},
  • Eulalia Nualart
  • Published 2009
These lectures are offered on the basis of need or interest to graduate/ Ph.D. students, post-docs and other researchers of the University of Wisconsin (Madison), from June 23rd to July 2nd 2009. The recommended prior knowledge is an advance probability course. Some familiarity with Itô stochastic calculus is also recommended. The aim of these lectures is to give an introduction to the stochastic calculus of variations, known as Malliavin calculus, and give one of its applications in… CONTINUE READING


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