Variational sensitivity analysis of parametric Markovian market models

MaRDI QIDQ3534748zbMATH OpenFDO

Authors Christoph Schwab, Norbert Hilber, Christoph Winter

Publication date 4 November 2008

zbMATH Keywords

GreeksMarkov processsensitivitysparse tensor finite elements

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Finite element, Rayleigh-Ritz and Galerkin methods for initial value and initial-boundary value problems involving PDEs (65M60) Finite element, Rayleigh-Ritz and Galerkin methods for boundary value problems involving PDEs (65N30) Microeconomic theory (price theory and economic markets) (91B24)

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(5)

• Convergence rates of large-time sensitivities with the Hansen-Scheinkman decomposition
• Numerical analysis of additive, Lévy and Feller processes with applications to option pricing
• A comparison of single factor Markov-functional and multi factor market models
• Orthogonal wavelet method for multi-stage expansion and contraction options under stochastic volatility
• Numerical methods for Lévy processes

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