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katastrofa
Posts: 7440
Joined: August 16th, 2007, 5:36 am
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Re: Malliavin Calculus for Lévy Processes with Applications to Finance

March 6th, 2019, 9:57 pm

Not this calculus but stochastic calculus of variations (i.e. sensitivities). It's another name of Malliavin calculus. Electric chair isn't this chair.

I know. Though I wouldn't generally call sensitivities variations. At least not those I calculate at work.