Malliavin Monte Carlo Greeks for jump diffusions
暂无分享,去创建一个
[1] L. Hansen,et al. Modeling the Long Run: Valuation in Dynamic Stochastic Economies , 2008 .
[2] P. Glasserman,et al. Malliavin Greeks without Malliavin calculus , 2007 .
[3] V. Bally,et al. Integration by parts formula for locally smooth laws and applications to sensitivity computations , 2007, math/0702884.
[4] F. Utzet,et al. Canonical Lévy process and Malliavin calculus , 2007 .
[5] M. Bavouzet,et al. Computation of Greeks using Malliavin's calculus in jump type market models , 2006 .
[6] J. Teichmann,et al. Calculation of Greeks for Jump-Diffusions , 2005 .
[7] Nicolas Privault,et al. Computations of Greeks in a market with jumps via the Malliavin calculus , 2004, Finance Stochastics.
[8] Jorge A. León,et al. On Lévy processes, Malliavin calculus and market models with jumps , 2002, Finance Stochastics.
[9] D. Nualart,et al. Chaotic and predictable representation for L'evy Processes , 2000 .
[10] D. Nualart. The Malliavin Calculus and Related Topics , 1995 .
[11] K. Elworthy,et al. Formulae for the Derivatives of Heat Semigroups , 1994, 1911.10971.
[12] P. Glasserman,et al. Some Guidelines and Guarantees for Common Random Numbers , 1992 .
[13] J. Bismut. Calcul des variations stochastique et processus de sauts , 1983 .
[14] Pierre-Louis Lions,et al. Applications of Malliavin calculus to Monte Carlo methods in finance , 1999, Finance Stochastics.
[15] Peter Kuster,et al. Malliavin calculus for processes with jumps , 1991 .
[16] Etienne Pardoux,et al. Differential Calculus and Integration by Parts on Poisson Space , 1990 .
[17] Sergio Albeverio,et al. Stochastics, algebra and analysis in classical and quantum dynamics : proceedings of the IVth French-German Encounter on Mathematics and Physics, CIRM, Marseille, France, February/March 1988 , 1990 .