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  • Search: subject:"Malliavin Calculus"
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Year of publication
Subject
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Malliavin calculus 137 Option pricing theory 46 Optionspreistheorie 46 Stochastic process 46 Stochastischer Prozess 46 Volatility 27 Volatilität 27 Asymptotic expansion 20 Mathematical finance 19 Finanzmathematik 18 Black-Scholes model 14 Black-Scholes-Modell 14 Greeks 13 Option trading 13 Optionsgeschäft 13 Derivat 12 Derivative 12 Monte Carlo simulation 12 Analysis 11 Malliavin Calculus 11 Mathematical analysis 11 Theorie 10 Theory 10 Monte-Carlo-Simulation 9 Stochastic volatility 9 Asian options 8 Hedging 8 asymptotic expansion 8 Fractional Brownian motion 7 Monte Carlo methods 7 Option pricing 7 Portfolio selection 7 Portfolio-Management 7 Reinsurance 6 Curse of dimensionality 5 Deep learning 5 Estimation theory 5 Heston model 5 Investment 5 Kolmogorov PDEs 5
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Online availability
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Undetermined 92 Free 39 CC license 5
Type of publication
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Article 120 Book / Working Paper 40
Type of publication (narrower categories)
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Article in journal 43 Aufsatz in Zeitschrift 43 Graue Literatur 12 Non-commercial literature 12 Working Paper 12 Arbeitspapier 11 Article 3 Aufsatz im Buch 1 Book section 1 Collection of articles of several authors 1 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1 Sammelwerk 1 Thesis 1
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Language
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Undetermined 89 English 71
Author
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Takahashi, Akihiko 17 Yamada, Toshihiro 15 Alòs, Elisa 14 Peng, Xingchun 7 Hu, Yijun 6 León, Jorge A. 6 Ewald, Christian-Oliver 5 Touzi, Nizar 5 Yoshida, Nakahiro 5 Kohatsu, Arturo 4 Uchida, Masayuki 4 Yang, Zhaojun 4 Arai, Takuji 3 Chen, Fenge 3 Imkeller, Peter 3 Kohatsu-Higa, Arturo 3 Menkens, Olaf 3 Nourdin, Ivan 3 Peccati, Giovanni 3 Privault, Nicolas 3 Shiraya, Kenichiro 3 Takehara, Kohta 3 Benhamou, Eric 2 Cherif, Sidi Mohamed Lalaoui Ben 2 Chung, Tsz-Kin 2 Crisan, Dan 2 Eddahbi, M'hamed 2 El-Khatib, Youssef 2 Elie, Romuald 2 Ewald, Christian-Olivier 2 Fournié, Eric 2 García Lorite, David 2 Iguchi, Yuga 2 Imai, Yuto 2 Jacquier, Antoine 2 Kateregga, M. 2 Kawai, Reiichiro 2 Lasry, Jean-Michel 2 Lebuchoux, Jérôme 2 Lions, Pierre-Louis 2
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Institution
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Department of Economics and Business, Universitat Pompeu Fabra 8 EconWPA 4 School of Economics and Management, University of Aarhus 2 Society for Computational Economics - SCE 2 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 2 Centre for Research into Industry, Enterprise, Finance and the Firm (CRIEFF), University of St. Andrews 1 HAL 1 Nationalekonomiska Institutionen, Ekonomihögskolan 1 Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät 1 Université Paris-Dauphine 1 Université Paris-Dauphine (Paris IX) 1
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Published in...
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Stochastic Processes and their Applications 20 Finance and Stochastics 11 Economics Working Papers / Department of Economics and Business, Universitat Pompeu Fabra 8 Statistics & Probability Letters 8 Statistical Inference for Stochastic Processes 7 CIRJE discussion papers / F series 6 International Journal of Theoretical and Applied Finance (IJTAF) 6 Risks : open access journal 5 Applied mathematical finance 4 Asia-Pacific Financial Markets 4 Finance and stochastics 4 International journal of theoretical and applied finance 4 CARF working paper 3 Finance 3 Insurance / Mathematics & economics 3 Insurance: Mathematics and Economics 3 International journal of financial engineering 3 The journal of computational finance 3 Asia-Pacific financial markets 2 CREATES Research Papers 2 Decisions in economics and finance : DEF ; a journal of applied mathematics 2 MPRA Paper 2 Mathematical finance : an international journal of mathematics, statistics and financial theory 2 Physica A: Statistical Mechanics and its Applications 2 Quantitative Finance 2 Quantitative finance 2 Risks 2 Annals of the Institute of Statistical Mathematics 1 Applied Mathematical Finance 1 Barcelona GSE working paper series : working paper 1 CRIEFF Discussion Papers 1 Cogent Economics & Finance 1 Cogent economics & finance 1 Computational Economics 1 Computational Management Science : CMS 1 Computational Statistics 1 Computational economics 1 Computing in Economics and Finance 2002 1 Computing in Economics and Finance 2004 1 Decisions in Economics and Finance 1
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Source
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RePEc 98 ECONIS (ZBW) 56 EconStor 4 BASE 2
Showing 1 - 10 of 160
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On the curvature of the bachelier implied volatility
Alòs, Elisa; García Lorite, David - In: Risks : open access journal 13 (2025) 2, pp. 1-19
via Malliavin calculus. Finally, we add the corresponding correlation correction and we take limits as the time to …
Persistent link: https://www.econbiz.de/10015333743
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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014383870
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Quasi-Monte Carlo-based conditional Malliavin method for continuous-time Asian option Greeks
Yu, Chao; Wang, Xiaoqun - In: Computational economics 62 (2023) 1, pp. 325-360
Persistent link: https://www.econbiz.de/10014327500
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Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: May 9, 2023
Persistent link: https://www.econbiz.de/10014289121
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New asymptotic expansion formula via Malliavin calculus and its application to rough differential equation driven by fractional Brownian motion
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version: July 3, 2023
Persistent link: https://www.econbiz.de/10014331906
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Solving Kolmogorov PDEs without the curse of dimensionality via deep learning and asymptotic expansion with Malliavin calculus
Takahashi, Akihiko; Yamada, Toshihiro - 2023 - This version : May 9, 2023
Persistent link: https://www.econbiz.de/10014266288
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Pricing and hedging bond power exchange options in a stochastic string term-structure model
Blenman, Lloyd P.; Bueno-Guerrero, Alberto; Clark, Steven P. - In: Risks : open access journal 10 (2022) 10, pp. 1-17
We study power exchange options written on zero-coupon bonds under a stochastic string term-structure framework. Closed-form expressions for pricing and hedging bond power exchange options are obtained and, as particular cases, the corresponding expressions for call power options and constant...
Persistent link: https://www.econbiz.de/10013555525
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Probability density of lognormal fractional SABR model
Akahori, Jiro; Song, Xiaoming; Wang, Tai-Ho - In: Risks : open access journal 10 (2022) 8, pp. 1-27
Instantaneous volatility of logarithmic return in the lognormal fractional SABR model is driven by the exponentiation of a correlated fractional Brownian motion. Due to the mixed nature of driving Brownian and fractional Brownian motions, probability density for such a model is less studied in...
Persistent link: https://www.econbiz.de/10013368253
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Forward start volatility swaps in rough volatility models
Alòs, Elisa; Rolloos, Frido; Shiraya, Kenichiro - 2022
Persistent link: https://www.econbiz.de/10014266236
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The weak convergence rate of two semi-exact discretization schemes for the Heston model
Mickel, Annalena; Neuenkirch, Andreas - In: Risks 9 (2021) 1, pp. 1-38
Inspired by the article Weak Convergence Rate of a Time-Discrete Scheme for the Heston Stochastic Volatility Model, Chao Zheng, SIAM Journal on Numerical Analysis 2017, 55:3, 1243-1263, we studied the weak error of discretization schemes for the Heston model, which are based on exact simulation...
Persistent link: https://www.econbiz.de/10013200693
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