The Malliavin gradient method for calibration of stochastic volatility
models

We discuss the application of gradient methods to calibrate mean reverting

stochastic volatility models. For this we use formulas based on Girsanov

transformations as well as a modification of the Bismut-Elworthy formula to

compute the derivatives of certain option prices with respect to the

parameters of the model by applying Monte Carlo methods. The article

presents an extension of the ideas to apply Malliavin calculus methods in

the computation of Greek's.