{"id":"https://openalex.org/W291811356","doi":"https://doi.org/10.1007/3-540-28329-3_6","title":"Malliavin Calculus in finance","display_name":"Malliavin Calculus in finance","publication_year":2006,"publication_date":"2006-02-04","ids":{"openalex":"https://openalex.org/W291811356","doi":"https://doi.org/10.1007/3-540-28329-3_6","mag":"291811356"},"language":"en","primary_location":{"id":"doi:10.1007/3-540-28329-3_6","doi":"https://doi.org/10.1007/3-540-28329-3_6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/3-540-28329-3_6","pdf_url":null,"source":{"id":"https://openalex.org/S4306463937","display_name":"Springer eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Probability, its Applications","raw_type":"book-chapter"},"volume":{"id":"https://openalex.org/W1554577510","display_name":"The Malliavin Calculus and Related Topics"},"type":"book-chapter","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5033842662","display_name":"David Nualart","orcid":"https://orcid.org/0000-0002-4978-637X","observed_orcids":["https://orcid.org/0000-0002-4978-637X"]},"institutions":[{"id":"https://openalex.org/I146416000","display_name":"University of Kansas","ror":"https://ror.org/001tmjg57","country_code":"US","type":"education","lineage":["https://openalex.org/I146416000"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"David Nualart","raw_affiliation_strings":["Department of Mathematics, University of Kansas, Snow Hall 405, Lawrence, KS, 66045-7523, U.S.A","University of Kansas"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Mathematics, University of Kansas, Snow Hall 405, Lawrence, KS, 66045-7523, U.S.A","institution_ids":["https://openalex.org/I146416000"]},{"raw_affiliation_string":"University of Kansas","institution_ids":["https://openalex.org/I146416000"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5033842662"],"corresponding_institution_ids":["https://openalex.org/I146416000"],"apc_list":null,"apc_paid":null,"fwci":4.8196,"has_fulltext":false,"cited_by_count":53,"citation_normalized_percentile":{"value":0.9588015,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":98},"biblio":{"volume":null,"issue":null,"first_page":"321","last_page":"349"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":1.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12135","display_name":"Fuzzy Systems and Optimization","score":0.0,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/malliavin-calculus","display_name":"Malliavin calculus","score":0.9929999709129333},{"id":"https://openalex.org/keywords/mathematical-finance","display_name":"financial mathematics","score":0.7919999957084656},{"id":"https://openalex.org/keywords/price-sensitivity","display_name":"price sensitivity","score":0.8870000243186951},{"id":"https://openalex.org/keywords/greeks","display_name":"Greeks","score":0.9419999718666077},{"id":"https://openalex.org/keywords/integration-by-parts-formula","display_name":"integration by parts formula","score":0.9890000224113464},{"id":"https://openalex.org/keywords/clark-ocone-formula","display_name":"Clark-Ocone formula","score":0.9789999723434448},{"id":"https://openalex.org/keywords/hedging-portfolio","display_name":"hedging portfolio","score":0.9850000143051147},{"id":"https://openalex.org/keywords/black-scholes-model","display_name":"Black-Scholes model","score":0.9990000128746033},{"id":"https://openalex.org/keywords/insider-trading","display_name":"insider trading","score":0.9229999780654907},{"id":"https://openalex.org/keywords/expected-utility","display_name":"expected utility","score":0.9829999804496765}],"concepts":[{"id":"https://openalex.org/C182767506","wikidata":"https://www.wikidata.org/wiki/Q1321169","display_name":"Greeks","level":2,"score":0.8988235592842102},{"id":"https://openalex.org/C11505638","wikidata":"https://www.wikidata.org/wiki/Q6744166","display_name":"Malliavin calculus","level":4,"score":0.8845956325531006},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.6576101183891296},{"id":"https://openalex.org/C49937458","wikidata":"https://www.wikidata.org/wiki/Q2599292","display_name":"Probabilistic logic","level":2,"score":0.601777970790863},{"id":"https://openalex.org/C2777686260","wikidata":"https://www.wikidata.org/wiki/Q144037","display_name":"Calculus (dental)","level":2,"score":0.48269152641296387},{"id":"https://openalex.org/C93373587","wikidata":"https://www.wikidata.org/wiki/Q335632","display_name":"Mathematical finance","level":2,"score":0.46427270770072937},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.4602789580821991},{"id":"https://openalex.org/C2778971194","wikidata":"https://www.wikidata.org/wiki/Q1664551","display_name":"Insider","level":2,"score":0.4468647837638855},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.4274847209453583},{"id":"https://openalex.org/C118365987","wikidata":"https://www.wikidata.org/wiki/Q273328","display_name":"Integration by parts","level":2,"score":0.41449517011642456},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.398986279964447},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.35429537296295166},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.35117894411087036},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.21644499897956848},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.17335191369056702},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.15258336067199707},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.1136944591999054},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.07533162832260132},{"id":"https://openalex.org/C138885662","wikidata":"https://www.wikidata.org/wiki/Q5891","display_name":"Philosophy","level":0,"score":0.0596163272857666},{"id":"https://openalex.org/C111472728","wikidata":"https://www.wikidata.org/wiki/Q9471","display_name":"Epistemology","level":1,"score":0.0},{"id":"https://openalex.org/C199343813","wikidata":"https://www.wikidata.org/wiki/Q12128","display_name":"Dentistry","level":1,"score":0.0},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0},{"id":"https://openalex.org/C84629840","wikidata":"https://www.wikidata.org/wiki/Q16979017","display_name":"Stochastic partial differential equation","level":3,"score":0.0},{"id":"https://openalex.org/C78045399","wikidata":"https://www.wikidata.org/wiki/Q11214","display_name":"Differential equation","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1007/3-540-28329-3_6","doi":"https://doi.org/10.1007/3-540-28329-3_6","is_oa":false,"landing_page_url":"https://doi.org/10.1007/3-540-28329-3_6","pdf_url":null,"source":{"id":"https://openalex.org/S4306463937","display_name":"Springer eBooks","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/P4310319965","host_organization_name":"Springer Nature","host_organization_lineage":["https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Nature"],"type":"ebook platform"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Probability, its Applications","raw_type":"book-chapter"}],"best_oa_location":null,"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":0,"referenced_works":[],"related_works":["https://openalex.org/W2594619348","https://openalex.org/W2318013623","https://openalex.org/W6990670089","https://openalex.org/W260122720","https://openalex.org/W2151832703","https://openalex.org/W6884913997","https://openalex.org/W228209309","https://openalex.org/W1656965715","https://openalex.org/W3165172824","https://openalex.org/W1870418517"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":2},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":6},{"year":2021,"cited_by_count":5},{"year":2019,"cited_by_count":4},{"year":2018,"cited_by_count":4},{"year":2017,"cited_by_count":4},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":3},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-26T11:51:55.731654","created_date":"2016-06-24T00:00:00"}
