scientific article; zbMATH DE number 5010396

MaRDI QIDQ3374063zbMATH OpenFDO

Authors Miquel Montero, Arturo Kohatsu-Higa

Publication date 9 March 2006

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic calculus of variations and the Malliavin calculus (60H07) Numerical methods (including Monte Carlo methods) (91G60) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Cited in

(13)

• Prices and sensitivities of Asian options: A survey
• Weak approximations for Wiener functionals
• Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations
• Kernel estimation of Greek weights by parameter randomization
• Derivative-free greeks for the Barndorff-Nielsen and Shephard stochastic volatility model
• Sensitivity of the joint survival probability for reinsurance schemes
• Malliavin Greeks without Malliavin calculus
• Double Kernel Estimation of Sensitivities
• An introduction to particle methods with financial applications
• Smooth density for the solution of scalar SDEs with locally Lipschitz coefficients under Hörmander condition
• Multidimensional quasi-Monte Carlo Malliavin Greeks
• Weak approximation of martingale representations
• Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3374063)