Calculating the Greeks by cubature formulae

DOI10.1098/rspa.2005.1583zbMath1149.91317arXivmath/0410112OpenAlexW2128328849MaRDI QIDQ3503276

Josef Teichmann

Publication date: 22 May 2008

Published in: Proceedings of the Royal Society A: Mathematical, Physical and Engineering Sciences (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0410112

zbMATH Keywords

cubature formulaenilpotent Lie groupsWiener spaceHörmander's theoremMalliavin Calculus

Mathematics Subject Classification ID

Related Items (8)

Optimal friction matrix for underdamped Langevin sampling ⋮ Cubature on Wiener space for McKean-Vlasov SDEs with smooth scalar interaction ⋮ Cubature on Wiener space in infinite dimension ⋮ Markov cubature rules for polynomial processes ⋮ On The Error Estimate for Cubature on Wiener Space ⋮ Analysis of Fourier Transform Valuation Formulas and Applications ⋮ Sensitivitiesviarough paths ⋮ A cubature based algorithm to solve decoupled McKean-Vlasov forward-backward stochastic differential equations

Cites Work

• Large deviations and the Malliavin calculus
• Stochastic flows and Taylor series
• Differential equations driven by rough signals
• Stochastic calculus of variations in mathematical finance.
• Cubature on Wiener space
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
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