Cutting Edge introduction: requiem for a probabilist

Laurie Carver
10 Jan 2012

Tweet
Facebook
LinkedIn
Save this article
Send to
Print this page

Paul Malliavin, a French mathematician who died in 2010 aged 84, was working on an esoteric problem in pure probability in the 1970s – under what conditions the distribution of a random variable is smooth – when he discovered one of the revolutionary ideas of stochastic analysis. His breakthrough has been largely ignored by finance practitioners, but the first of this month’s technical papers – Being particular about calibration, by Société Générale’s Julien Guyon and Pierre Henry-Labordère –

Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.

To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe

You are currently unable to print this content. Please contact info@risk.net to find out more.

You are currently unable to copy this content. Please contact info@risk.net to find out more.

You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net

You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/

If you would like to purchase additional rights please email info@risk.net