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Regular variation and smile asymptotics

Benaim, S.; Friz, P. - In: Mathematical finance : an international journal of … 19 (2009) 1, pp. 1-12

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Local well-posedness of Musiela's SPDE with Lévy noise

Marinelli, Carlo - In: Mathematical finance : an international journal of … 20 (2010) 3, pp. 341-363

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Special issue: Conference on Applications of Malliavin Calculus in Finance

2003

Persistent link: https://www.econbiz.de/10001765613

Optimal Malliavin weighting function for the computation of the Greeks

Benhamou, Eric - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 37-53

Persistent link: https://www.econbiz.de/10001765632

Hedging options : the Malliavin calculus approach versus the -hedging approach

Bermin, Hans-Peter - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 73-84

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Local vega index and variance reduction methods

Bermin, Hans-Peter; Kohatsu-Higa, Arturo; Montero, Miquel - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 85-97

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Monte Carlo evaluation of Greeks for multidimensional barrier and lookback options

Bernis, Guillaume; Gobet, Emmanuel; Kohatsu-Higa, Arturo - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 99-113

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Error calculus and path sensitivity in financial models

Bouleau, Nicolas - In: Mathematical finance : an international journal of … 13 (2003) 1, pp. 115-134

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From smile asymptotics to market risk measures

Sircar, Kaushik Ronnie; Sturm, Stephan - In: Mathematical finance : an international journal of … 25 (2015) 2, pp. 400-425

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Conference on applications of Malliavin calculus in finance : [... held at INRIA-Rocquencourt, France, on December 13 and 14, 2001]

Lamberton, Damien (contributor) - Conference on Applications of Malliavin Calculus in … - In: Mathematical finance : an international journal of … 13,1 : Special issue (2003)

Persistent link: https://www.econbiz.de/10004870191