Malliavin calculus and bootstrap methods for stochastic volatility models
Abstract
As a forward problem, in this paper we review some aspects of the method of Malliavin calculus, also known as the stochastic calculus of variations, for the Monte Carlo estimation of the sensitivity parameters (Greeks) of financial models.This helps in pricing and hedging of derivative securities.As an inverse problem, we review bootstrap methods for estimation and testing in continuous time stochastic volatility models based on discrete observations.We put special emphasis on jumps and long memory in the volatility process.
Fields of Study & Subjects
Stochastic processes and financial applications
Financial Risk and Volatility Modeling
Markov Chains and Monte Carlo Methods
Publication details
- Journal / source
- European Journal of Mathematics and Applications
- Volume
- 6
- Pages
- 2–2
- Publication date
- 1 January 2026
- Language
- EN