Pages that link to "Item:Q5936315"
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The following pages link to Applications of Malliavin calculus to Monte-Carlo methods in finance. II (Q5936315):
Displayed 50 items.
- Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods (Q273346) (← links)
- Multi-asset American options and parallel quantization (Q370907) (← links)
- A semigroup expansion for pricing barrier options (Q462410) (← links)
- Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process (Q470735) (← links)
- Computing deltas without derivatives (Q522065) (← links)
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (Q708279) (← links)
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations (Q778246) (← links)
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options (Q853652) (← links)
- Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Monte Carlo methods for derivatives of options with discontinuous payoffs (Q1019974) (← links)
- Pricing of path-dependent American options by Monte Carlo simulation (Q1027429) (← links)
- Computation of the Delta of European options under stochastic volatility models (Q1616804) (← links)
- Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus (Q1645191) (← links)
- Functional Itô calculus, path-dependence and the computation of Greeks (Q1679474) (← links)
- A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus (Q1689689) (← links)
- Differentiability of SDEs with drifts of super-linear growth (Q1721995) (← links)
- Integration by parts and martingale representation for a Markov chain (Q1724128) (← links)
- Pricing growth-rate risk (Q1761429) (← links)
- Malliavin calculus applied to finance (Q1859758) (← links)
- Pricing participating products with Markov-modulated jump-diffusion process: an efficient numerical PIDE approach (Q2015638) (← links)
- Stochastic functional linear models and Malliavin calculus (Q2135880) (← links)
- Avoiding zero probability events when computing value at risk contributions (Q2172041) (← links)
- On conditional cuts for stochastic dual dynamic programming (Q2195564) (← links)
- Integration by parts formula for killed processes: a point of view from approximation theory (Q2274216) (← links)
- Malliavin Greeks without Malliavin calculus (Q2464862) (← links)
- Integration by parts formula for locally smooth laws and applications to sensitivity computations (Q2467110) (← links)
- Kernel estimation of Greek weights by parameter randomization (Q2467608) (← links)
- A Malliavin calculus approach to sensitivity analysis in insurance (Q2485535) (← links)
- Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (Q2485757) (← links)
- Representations and regularities for solutions to BSDEs with reflections (Q2485839) (← links)
- On the regularity of the free boundary in the parabolic obstacle problem. Application to American options (Q2498794) (← links)
- Computation of optimal portfolios using simulation-based dimension reduction (Q2518536) (← links)
- Sensitivity analysis with respect to a stochastic stock price model with rough volatility via a Bismut-Elworthy-Li formula for singular SDEs (Q2680394) (← links)
- A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems (Q2794008) (← links)
- Sensitivity of the joint survival probability for reinsurance schemes (Q2870748) (← links)
- An Introduction to Particle Methods with Financial Applications (Q2917424) (← links)
- Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (Q2917432) (← links)
- Sensitivity Analysis of Catastrophe Bond Price Under the Hull–White Interest Rate Model (Q2960558) (← links)
- Weak Convergence of the Euler Scheme for Stochastic Differential Delay Equations (Q3091959) (← links)
- GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (Q3100753) (← links)
- A mean-field stochastic maximum principle via Malliavin calculus (Q3145081) (← links)
- Efficient price sensitivity estimation of financial derivatives by weak derivatives (Q3168630) (← links)
- Sequential Monte Carlo Methods for Option Pricing (Q3168706) (← links)
- Importance Sampling for Option Greeks with Discontinuous Payoffs (Q3186649) (← links)
- (Q3386773) (← links)
- Application of kernel-based stochastic gradient algorithms to option pricing (Q3516785) (← links)