Error Calculus and Path Sensitivity in Financial Models
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Publication:4409041
DOI10.1111/1467-9965.00009zbMath1073.91044arXivmath/0610489OpenAlexW3121749280MaRDI QIDQ4409041
Publication date: 2003
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0610489
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Cites Work
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- Espaces de Sobolev gaussiens. (Gaussian Sobolev spaces)
- Dirichlet forms and analysis on Wiener space
- Dirichlet forms and symmetric Markov processes
- Lipschitzian complete error calculus and Dirichlet forms
- Residual risks and hedging strategies in Markovian markets
- Mehler formula and capacities for infinite dimensional Ornstein-Uhlenbeck processes with general linear drift
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