This article is an introduction to Malliavin Calculus for practitioners. We treat one specific application to the calculation of greeks in Finance. We consider also the kernel density method to compute greeks and an extension of the Vega index called the local vega index.

This paper analyses the robustness of Least-Squares Monte Carlo, a technique recently proposed by Longstaff and Schwartz (2001) for pricing American options. This method is based on least-squares regressions in which the explanatory variables are certain polynomial functions. We analyze the...

A new methodology is proposed to estimate theoretical prices of financial contingent-claims whose values are dependent on some other underlying financial assets. In the literature the preferred choice of estimator is usually maximum likelihood (ML). ML has strong asymptotic justification but is...

In this paper we study the dynamic behavior of the term structure of Interbank interest rates and the pricing of options on interest rate sensitive securities. We posit a generalized single factor model with jumps to take into account external influences in the market. Daily data is used to test...

I was born in Timmins, Ontario, Canada on July 1, 1941. My father had ventured to Timmins, a relatively prosperous gold-mining region, to practice dentistry during the depression. My mother and her uncle established a chain of small department stores in and around Timmins. The death of her uncle...

Interview with Myron S. Scholes at the 3rd Meeting in Economic Sciences in Lindau, Germany, 22 August, 2008. The interviewer is Adam Smith, Editor-in-Chief of Nobelprize.org.

I was born in New York, New York, on July 31, 1944, the middle child between two sisters, Stephanie and Vanessa. I grew up in Hastings-on-Hudson, a village of about 8000 outside the city, in a house that Vanessa and her family live in today. My father, born in Philadelphia the son of immigrant...

Interview with Professor Robert C. Merton at the 1st Meeting of Laureates in Economic Sciences in Lindau, Germany, September 1-4, 2004. Interviewer is freelance journalist Marika Griehsel.

Prize Lecture to the memory of Alfred Nobel, December 9, 1997

Nobel Lecture to the memory of Alfred Nobel, December 9, 1997.