Sensitivity analysis for time-inhomogeneous Lévy process: a Malliavin calculus approach and numerics
DOI10.1007/978-3-319-30417-5_2zbMATH Open1401.60085OpenAlexW2496780077MaRDI QIDQ4558889FDOQ4558889
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
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Malliavin calculussensitivity analysisintegration by parts formulaadditive processestime-inhomogeneous Lévy process
Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07)
Cites Work
- A theory of the term structure of interest rates
- Financial Modelling with Jump Processes
- Title not available (Why is that?)
- Malliavin calculus in Lévy spaces and applications to finance.
- Computations of Greeks in a market with jumps via the Malliavin calculus
- Applications of Malliavin calculus to Monte Carlo methods in finance
- Malliavin Monte Carlo Greeks for jump diffusions
- The Malliavin Calculus and Related Topics
- On Lévy processes, Malliavin calculus and market models with jumps
- On the existence of smooth densities for jump processes
- Integration by parts formula for locally smooth laws and applications to sensitivity computations
- Robustness of option prices and their deltas in markets modelled by jump-diffusions
- 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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