Questions tagged [malliavin-calculus]

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Anticipating stochastic integral $\int_0^T W_T dW_t$

Using basic techniques from Malliavin calculus it can be shown that $$ \int_0^T W_T dW_t = W_T^2 - T $$ As can be seen the above integral is a non-adapted stochastic integral. We also know using Ito ...
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Malliavin Calculus

From a quant point of view, how would you explain Malliavin calculus in few words ? I have the level to take these courses, but won't be able to do it next year, so I want to know what I am missing. ...
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