scientific article; zbMATH DE number 5010396

zbMATH Open1138.91454MaRDI QIDQ3374063FDOQ3374063

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)

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

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