Details

Autor(en) / Beteiligte

• Cueva, Abraham Alonso Soldevilla

Titel

El Browniano Fraccionario y el Cálculo de Malliavin en las Finanzas Cuantitativas

Ort / Verlag

ProQuest Dissertations & Theses

Erscheinungsjahr

2021

Link zum Volltext

• ProQuest

Quelle

ProQuest Dissertations & Theses A&I

Beschreibungen/Notizen

• We can define "Quantitative Finance" as the branch of finance that develop and/or implement complex mathematical models, which are used by financial firms to make decisions about risk management, future investments and pricing of new financial products. The objective in this research is to show which mathematical objects are used in quantitative finance for derivatives pricing. My main focus are the stochastic process knows as Fractional Brownian Motion and the elements from Malliavin Stochastic Calculus. Given that my goal is to show how several mathematical objects and their context are apply in quantitative finance, I replicate three results about volatility derivatives from Peter Carr and Roger Lee publication "Volatility Derivatives" and evaluate them using simulation exercises and Malliavin Calculus, following the work publish in 2019 by Elisa Àlos and Kenichiro Shiraya with the name "Estimating the Hurst parameter from short term volatility swaps: a Malliavin calculus approach".