Universitat Pompeu Fabra and Barcelona Graduate School of Economics
Eulàlia Nualart is Associate Professor at UPF and a Barcelona GSE Affiliated Professor. She is the Deputy Director of the Barcelona GSE Master Program in Economics. Professor Nualart was previously Associate Professor of Mathematics at Université Paris 13 and invited professor at Universidad Pública de Navarra and University of Utah (USA). Research interests: Stochastic analysis, Malliavin calculus and applications to finance. Study of densities of solutions to SDEs and SPDEs. Fractional Brownian motion. L´evy processes. Statistical Inference for parametic models driven by SDEs. She has published in international journals as Stochastic Processes and their Applications, The Annals of Probability, SPDEs: Analysis and Computations or Journal of Functional Analysis, among others.
In this paper, the authors develop a procedure to reduce the variance when numerically computing the Greeks obtained via Malliavin calculus for jump–diffusion models with stochastic volatility.