Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus (Q1645191): Difference between revisions

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+Malliavin differentiability of the Heston volatility and applications to option pricing
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+Computation of Greeks using Malliavin's calculus in jump type market models
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+Smart Monte Carlo: various tricks using Malliavin calculus
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+Large deviations and the Malliavin calculus
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+Malliavin Monte Carlo Greeks for jump diffusions
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+Computations of Greeks in a market with jumps via the Malliavin calculus
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+Formulae for the derivatives of heat semigroups
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+A Course in Financial Calculus
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+A new technique for calibrating stochastic volatility models: the Malliavin gradient method
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+Q4925738
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+Applications of Malliavin calculus to Monte Carlo methods in finance
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+Applications of Malliavin calculus to Monte-Carlo methods in finance. II
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+Extension of stochastic volatility equity models with the Hull–White interest rate process
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+The Malliavin Calculus and Related Topics
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