Malliavin calculus in finance
Year of publication: |
2003-04
|
---|---|
Authors: | Kohatsu, Arturo ; Miquel, Montero |
Institutions: | Department of Economics and Business, Universitat Pompeu Fabra |
Subject: | Malliavin claculus | computational finance | Greeks | Monte Carlo methods | kernel density method |
-
Grasselli, Matheus R,
-
Accelerated American Option Pricing with deep neural networks
Anderson, David, (2021)
-
Numerical analysis of strategic contingent claims models
Anderson, Ronald W., (1996)
- More ...
-
Local vega index and variance reduction methods
Bermin, Hans-Peter, (2003)
-
Kohatsu-Higa, Arturo, (2003)
-
Asymptotic behaviour of the density in a parabolic SPDE
Kohatsu, Arturo, (1999)
- More ...