Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems

<a class="pub-badge pub-badge--grey" href="https://zbmath.org/1191.91057" rel="nofollow">zbMATH</a><a class="pub-badge pub-badge--mardi" href="https://portal.mardi4nfdi.de/wiki/Item:Q5486566" rel="nofollow">MaRDI QID Q5486566</a><a class="pub-badge pub-badge--grey" href="https://fdo.portal.mardi4nfdi.de/fdo/Q5486566" rel="nofollow">FDO</a>

Authors Naoto Kunitomo, Akihiko Takahashi

Publication date 11 September 2006

Full work available at URL http://ebooks.worldscinet.com/ISBN/9789812702852/9789812702852_0010.html

zbMATH Keywords

asymptotic expansionMonte Carlo methodterm structure of interest ratesMalliavin-Watanabe calculusoptimal portfolio insurance

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80)

Recommendations

• Asymptotic expansion approach in finance
• scientific article; zbMATH DE number 169644
• Applications of Malliavin calculus to Monte Carlo methods in finance
• On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
• Malliavin calculus and asymptotic expansion for martingales

Cited in

(15)

• An approximation formula for basket option prices under local stochastic volatility with jumps: an application to commodity markets
• An eigenfunction expansion approach for the derivation of asymptotic expansions in financial valuation problems
• A general control variate method for multi-dimensional SDEs: an application to multi-asset options under local stochastic volatility with jumps models in finance
• Matched asymptotic expansions in financial engineering
• Asymptotic expansion approach in finance
• Large-maturity regimes of the Heston forward smile
• Pricing exotic options and American options: a multidimensional asymptotic expansion approach
• Expansion formulas for European quanto options in a local volatility FX-LIBOR model
• Malliavin calculus method for asymptotic expansion of dual control problems
• An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates
• On error estimates for asymptotic expansions with Malliavin weights: application to stochastic volatility model
• New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
• Asymptotics of Forward Implied Volatility
• On validity of the asymptotic expansion approach in contingent claim analysis
• A new computational scheme for computing Greeks by the asymptotic expansion approach

This page was built for publication: Applications of the asymptotic expansion approach based on Malliavin-Watanabe calculus in financial problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5486566)