Variational sensitivity analysis of parametric Markovian market models
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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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