Malliavin calculus for signatures with applications to finance

By Eduardo Abi Jaber, Clément Rey, Dimitri Sotnikov

Published 2026-04-27

Everscope rating

1986.8

Relevance to quantitative trading

8 / 10

Implementation complexity

9 / 10

Reproducibility

3 / 5

About this paper

Methodology: Algebraic Malliavin calculus for path signatures. Problem types: Sensitivity analysis (Greeks computation), Option pricing, Path-dependent derivative valuation, Risk management, Density estimation, Monte Carlo variance reduction.

arXiv:2604.22528 · Paper rankings

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