Pages that link to "Item:Q1979069"
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The following pages link to Applications of Malliavin calculus to Monte Carlo methods in finance (Q1979069):
Displaying 50 items.
- Malliavin calculus applied to finance (Q1859758) (← links)
- Representation theorems for backward stochastic differential equations (Q1872357) (← links)
- The differentiation of hypoelliptic diffusion semigroups (Q1928879) (← links)
- Pricing discrete barrier options under stochastic volatility (Q1929151) (← links)
- Pricing and hedging Asian basket options with quasi-Monte Carlo simulations (Q1945610) (← links)
- Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates (Q2040431) (← links)
- A Bismut-Elworthy inequality for a Wasserstein diffusion on the circle (Q2093324) (← links)
- On density functions related to discrete time maximum of some one-dimensional diffusion processes (Q2101959) (← links)
- Gradient formula for transition semigroup corresponding to stochastic equation driven by a system of independent Lévy processes (Q2104027) (← links)
- Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition (Q2120590) (← links)
- Approximation to stochastic variance reduced gradient Langevin dynamics by stochastic delay differential equations (Q2128624) (← links)
- Stochastic functional linear models and Malliavin calculus (Q2135880) (← links)
- Existence and probabilistic representation of the solutions of semilinear parabolic PDEs with fractional Laplacians (Q2158592) (← links)
- On conditional cuts for stochastic dual dynamic programming (Q2195564) (← links)
- Computation of Greeks in jump-diffusion models using discrete Malliavin calculus (Q2229106) (← links)
- Integration by parts formula for killed processes: a point of view from approximation theory (Q2274216) (← links)
- Measuring sample quality with diffusions (Q2286455) (← links)
- Machine learning for semi linear PDEs (Q2316193) (← links)
- Indirect inference with a non-smooth criterion function (Q2330740) (← links)
- Malliavin calculus approach to statistical inference for Lévy driven SDE's (Q2340302) (← links)
- Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data (Q2349603) (← links)
- Discrete Malliavin calculus and computations of Greeks in the binomial tree (Q2356101) (← links)
- A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights (Q2357445) (← links)
- On the data-driven COS method (Q2422825) (← links)
- Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum (Q2438494) (← links)
- Malliavin Greeks without Malliavin calculus (Q2464862) (← links)
- Kernel estimation of Greek weights by parameter randomization (Q2467608) (← links)
- Estimating multidimensional density functions for random variables in Wiener space (Q2476540) (← links)
- A Malliavin calculus approach to sensitivity analysis in insurance (Q2485535) (← links)
- Representations and regularities for solutions to BSDEs with reflections (Q2485839) (← links)
- The Malliavin gradient method for the calibration of stochastic dynamical models (Q2493710) (← links)
- Likelihood ratio gradient estimation for Meixner distribution and Lévy processes (Q2512758) (← links)
- Approximate hedging for nonlinear transaction costs on the volume of traded assets (Q2516769) (← links)
- Computation of optimal portfolios using simulation-based dimension reduction (Q2518536) (← links)
- Discrete-time approximation for continuously and discretely reflected BSDEs (Q2518617) (← links)
- Representation of solutions to BSDEs associated with a degenerate FSDE (Q2572394) (← links)
- Malliavin Monte Carlo Greeks for jump diffusions (Q2576959) (← links)
- Variance comparison between infinitesimal perturbation analysis and likelihood ratio estimators to stochastic gradient (Q2670503) (← 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)
- Analysis of Fourier Transform Valuation Formulas and Applications (Q2786205) (← links)
- Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion (Q2786208) (← links)
- Sensitivities<i>via</i>rough paths (Q2786491) (← links)
- A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems (Q2794008) (← links)
- General approximation schemes for option prices in stochastic volatility models (Q2869978) (← links)
- Sensitivity of the joint survival probability for reinsurance schemes (Q2870748) (← links)
- Analytical formulas for a local volatility model with stochastic rates (Q2893202) (← links)
- Computation of the Delta in Multidimensional Jump-Diffusion Setting with Applications to Stochastic Volatility Models (Q2893286) (← 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)
- American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach (Q2935304) (← links)
