Pages that link to "Item:Q1979069"
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The following pages link to Applications of Malliavin calculus to Monte Carlo methods in finance (Q1979069):
Displaying 50 items.
- European and Asian Greeks for exponential Lévy processes (Q64644) (← links)
- Efficient simulation of Greeks of multiasset European and Asian style options by Malliavin calculus and quasi-Monte Carlo methods (Q273346) (← links)
- Strong Feller properties for degenerate SDEs with jumps (Q297467) (← links)
- Inference in a synchronization game with social interactions (Q301960) (← links)
- Weak approximations for Wiener functionals (Q363864) (← links)
- Multi-asset American options and parallel quantization (Q370907) (← links)
- Multidimensional quasi-Monte Carlo Malliavin Greeks (Q377789) (← links)
- A variational approach to the construction and Malliavin differentiability of strong solutions of SDEs (Q382307) (← links)
- Convex regularization of local volatility models from option prices: convergence analysis and rates (Q412709) (← links)
- An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options (Q425903) (← links)
- Shock elasticities and impulse responses (Q475311) (← links)
- Unbiased and efficient Greeks of financial options (Q483704) (← links)
- Calculations of greeks for jump diffusion processes (Q493354) (← links)
- Computing deltas without derivatives (Q522065) (← links)
- A comparison of single factor Markov-functional and multi factor market models (Q541589) (← links)
- Pricing and hedging of Asian options: Quasi-explicit solutions via Malliavin calculus (Q639362) (← links)
- A benchmarking approach to optimal asset allocation for insurers and pension funds (Q659228) (← links)
- Pricing and hedging of financial derivatives using a posteriori error estimates and adaptive methods for stochastic differential equations (Q708279) (← links)
- On some applications of Sobolev flows of SDEs with unbounded drift coefficients (Q722671) (← links)
- A new numerical method for 1-D backward stochastic differential equations without using conditional expectations (Q778246) (← links)
- Monte Carlo estimation of a joint density using Malliavin calculus, and application to American options (Q853652) (← links)
- A new computational scheme for computing Greeks by the asymptotic expansion approach (Q853863) (← links)
- Efficient stochastic sensitivity analysis of discrete event systems (Q870582) (← links)
- Pricing participating products under a generalized jump-diffusion model (Q936992) (← links)
- Prices and sensitivities of Asian options: A survey (Q939350) (← links)
- Optimal portfolio choice for unobservable and regime-switching mean returns (Q951435) (← links)
- Pricing American Asian options with higher moments in the underlying distribution (Q953394) (← links)
- Hedging using simulation: a least squares approach (Q956433) (← links)
- Numerical methods for Lévy processes (Q964687) (← links)
- Smart expansion and fast calibration for jump diffusions (Q964692) (← links)
- Bismut-Elworthy-Li-type formulae for stochastic differential equations with jumps (Q975336) (← links)
- Flow of diffeomorphisms for SDEs with unbounded Hölder continuous drift (Q977449) (← links)
- Monte Carlo methods for derivatives of options with discontinuous payoffs (Q1019974) (← links)
- Sensitivity analysis for averaged asset price dynamics with gamma processes (Q1044013) (← links)
- Computation of the Delta of European options under stochastic volatility models (Q1616804) (← links)
- Computation of Greeks using binomial trees in a jump-diffusion model (Q1623987) (← links)
- The Bismut-Elworthy-Li formula for mean-field stochastic differential equations (Q1635968) (← links)
- Computation of option Greeks under hybrid stochastic volatility models via Malliavin calculus (Q1645191) (← links)
- On increasing risk, inequality and poverty measures: peacocks, lyrebirds and exotic options (Q1657477) (← links)
- Sensitivity analysis for marked Hawkes processes: application to CLO pricing (Q1670394) (← links)
- Functional Itô calculus, path-dependence and the computation of Greeks (Q1679474) (← links)
- An integration by parts type formula for stopping times and its application (Q1707041) (← links)
- Nesting Monte Carlo for high-dimensional non-linear PDEs (Q1713854) (← links)
- Differentiability of SDEs with drifts of super-linear growth (Q1721995) (← links)
- Integration by parts and martingale representation for a Markov chain (Q1724128) (← links)
- An integral representation of elasticity and sensitivity for stochastic volatility models (Q1744204) (← links)
- Optimal approximation of Skorohod integrals (Q1745263) (← links)
- Applications of generalized likelihood ratio method to distribution sensitivities and steady-state simulation (Q1745943) (← links)
- Pricing growth-rate risk (Q1761429) (← links)
- Sensitivity analysis of long-term cash flows (Q1788822) (← links)
