This paper presents an original probabilistic method for the numerical computations of Greeks (i.e. price sensitivities) in finance. Our approach is based on the {\it integration-by-parts} formula, which lies at the core of the theory of variational stochastic calculus, as developed in the...

We provide empirical evidence that deviations from uncovered interest rate parity (UIP) display significant nonlinearities, consistent with theories based on transaction costs or limits to speculation. This evidence suggests that the forward bias documented in the literature may be less...

This paper is the sequel of Part I [1], where we showed how to use the so-called Malliavin calculus in order to devise efficient Monte-Carlo (numerical) methods for Finance. First, we return to the formulas developed in [1] concerning the "greeks" used in European options, and we answer to the...

We propose an approximate static hedging procedure for multivariate derivatives. The hedging portfolio is composed of statically held simple univariate options, optimally weighted minimizing the variance of the difference between the target claim and the approximate replicating portfolio. The...