%0 Journal Article
%T Algebraic Form of Malliavin Calculus: Creation-Annihilation Operators, Conserved Currents and All That
%A Peter B. Lerner
%J Quantitative Finance
%D 2014
%I arXiv
%X The extremely useful method of Malliavin calculus has not yet gained adequate popularity because of the complicated analytic apparatus of this method. The author attempts here to propose a simplified algebraic formalism similar to Malliavin calculus, but based on the notion of creation-annihilation operators instead of Malliavin derivative to replace analytic theorems with algebraic computations. Three test problems: the valuation of portfolio with stochastic payoff function, the expression of the terminal payoff through stochastic integral and the approximate equation for the high-frequency market measure are discussed in Appendices.
%U http://arxiv.org/abs/1411.2950v1