Stochastic Calculus of Variations in Mathematical Finance

This up to date text demonstrates the relevance of Malliavin calculus for Mathematical Finance. It starts with an exposition from scratch of this theory. Greeks... » 

This up to date text demonstrates the relevance of Malliavin calculus for Mathematical Finance. It starts with an exposition from scratch of this theory. Greeks (price sensitivities) are reinterpreted in terms of Malliavin calculus. Integration by parts formulae provide stable Monte Carlo schemes for numerical valuation of digital options. «