Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes (Q4585676): Difference between revisions

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+Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes
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+Analysis of Fourier Transform Valuation Formulas and Applications
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+The Lévy LIBOR model
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+Sensitivity Analysis for Time-Inhomogeneous Lévy Process: A Malliavin Calculus Approach and Numerics
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+The calculus of variations for processes with independent increments
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+https://doi.org/10.1080/1350486x.2016.1243013
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+W2532507595
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+Publication:4585676