GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES (Q3100753): Difference between revisions

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+Integration by parts formula for locally smooth laws and applications to sensitivity computations
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+Martingales, the Malliavin calculus and hypoellipticity under general H�rmander's conditions
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+Calcul des variations stochastique et processus de sauts
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+Computations of Greeks in a market with jumps via the Malliavin calculus
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+Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
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+Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
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+Sensitivity analysis for averaged asset price dynamics with gamma processes
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+The Malliavin Calculus and Related Topics
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+Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps
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