Sensitivities<i>via</i>rough paths (Q2786491): Difference between revisions

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+Risk-neutral valuation. Pricing and hedging of financial derivatives.
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+Integrability and tail estimates for Gaussian rough differential equations
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+Stochastic analysis of the fractional Brownian motion
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+ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION
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+Computations of Greeks in a market with jumps via the Malliavin calculus
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+Applications of Malliavin calculus to Monte Carlo methods in finance
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+Differential equations driven by Gaussian signals
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+Multidimensional Stochastic Processes as Rough Paths
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+Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
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+Q4229805
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+Controlled differential equations as Young integrals: a simple approach
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+Differential equations driven by rough signals
@@ Property / cites work: Differential equations driven by rough signals / rank @@
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+System Control and Rough Paths
@@ Property / cites work: System Control and Rough Paths / rank @@
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+Stochastic calculus of variations in mathematical finance.
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+Fractional Brownian Motions, Fractional Noises and Applications
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+A generalized mean-reverting equation and applications
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+Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
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+The Malliavin Calculus and Related Topics
@@ Property / cites work: The Malliavin Calculus and Related Topics / rank @@
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+A Malliavin calculus approach to sensitivity analysis in insurance
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+Arbitrage with Fractional Brownian Motion
@@ Property / cites work: Arbitrage with Fractional Brownian Motion / rank @@
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+Calculating the Greeks by cubature formulae
@@ Property / cites work: Calculating the Greeks by cubature formulae / rank @@
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