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A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations
Chi Seng Pun / Qian Lei
stochastic calculus / stochastic processesResource overview

A Malliavin Calculus Approach to Backward Stochastic Volterra Integral Equations

Paper2024

by Chi Seng Pun, Qian Lei

Tags
stochastic calculusstochastic processes

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Suggested foundations for stochastic processes and pricing. Specialist prerequisites vary by paper.

Before you read

  1. Conditional Expectation

    Understand what it means to condition on current information.

  2. Stochastic Processes, Brownian Motion and Itô's Lemma

    Follow Brownian dynamics and the second-order term in Itô calculus.

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  1. Market Model and Risk-Neutral Valuation

    Connect stochastic dynamics to no-arbitrage prices.

  2. Simulating SDEs

    Translate continuous dynamics into a numerical experiment.

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