Sensitivity analysis for time-inhomogeneous Lévy process: a Malliavin calculus approach and numerics

DOI10.1007/978-3-319-30417-5_2MaRDI QIDQ4558889zbMATH OpenOpenAlexFDO

Authors M'hamed Eddahbi, Sidi Mohamed Lalaoui Ben Cherif

Publication date 30 November 2018

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-30417-5_2

zbMATH Keywords

Malliavin calculussensitivity analysisintegration by parts formulaadditive processestime-inhomogeneous Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07)

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A theory of the term structure of interest rates
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Financial Modelling with Jump Processes
• Integration by parts formula for locally smooth laws and applications to sensitivity computations
• Malliavin Monte Carlo Greeks for jump diffusions
• Malliavin calculus in Lévy spaces and applications to finance.
• On Lévy processes, Malliavin calculus and market models with jumps
• On the existence of smooth densities for jump processes
• Robustness of option prices and their deltas in markets modelled by jump-diffusions
• The Malliavin Calculus and Related Topics
• The calculus of variations for processes with independent increments

Cited in

(6)

• Sensitivity analysis of a class of interest rate derivatives in a variance gamma Lévy market
• Sensitivity analysis for averaged asset price dynamics with gamma processes
• Malliavin sensitivity analysis with polynomial growth payoff functions under the Black-Scholes model
• Sensitivity analysis for jump processes
• Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes
• Malliavin calculus in Lévy spaces and applications to finance.

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