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Representation formulas for Malliavin derivatives of diffusion processes
9 references·1 citing·41 second hop
Representation formulas for Malliavin derivatives of diffusion processes (2005)Representation formulas for Malliavin der…Numerical solution of stochastic differential equations (2016)Numerical solution of stochas…The Malliavin Calculus and Related Topics (2006)The Malliavin Calculus and Re…Stochastic Differential Equations (2006)Stochastic Differential Equat…On the Malliavin approach to Monte Carlo approximation of conditional expectations (2004)On the Malliavin approach to …A Monte Carlo Method for Optimal Portfolios (2003)A Monte Carlo Method for Opti…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Asymptotic error distributions for the Euler method for stochastic differential equations (1998)Asymptotic error distribution…A generalized clark representation formula, with application to optimal portfolios (1991)A generalized clark represent…Limit Distributions for the Error in Approximations of Stochastic Integrals (1980)Limit Distributions for the E…Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion (2008)Optimal pointwise approximati…Limit Theorems for Stochastic Processes (1987)Stochastic Integration and Differential Equations (1990)Realized Variance and Market Microstructure Noise (2004)Stochastic Integration and Differential Equations (2005)Estimating Covariation: Epps Effect, Microstructure Noise (2006)Ultra high frequency volatility estimation with dependent microstructure noise (2010)Stochastic Differential Equations and Diffusion Processes (1983)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Effects of financial innovations on market volatility when beliefs are heterogeneous (1998)Optimal trading strategy for an investor: the case of partial information (1998)Optimizing the terminal wealth under partial information: The drift process as a continuous time Markov chain (2004)Brownian Motion and Stochastic Calculus (2007)Stochastic Calculus and Stochastic Models (1974)Stochastic Analysis (1997)Milstein’s type schemes for fractional SDEs (2009)Multilevel Monte Carlo for stochastic differential equations with additive fractional noise (2009)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Stochastic differential equations and applications (2008)Optimal replication of contingent claims under transaction costs (1989)Valuing American Options by Simulation: A Simple Least-Squares Approach (2001)Discrete-time approximation of BSDEs and probabilistic schemes for fully nonlinear PDEs (2009)On the Monte Carlo simulation of BSDEs: An improvement on the Malliavin weights (2010)Regression Methods for Stochastic Control Problems and Their Convergence Analysis (2010)PORTFOLIO SELECTION* (1952)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Optimum consumption and portfolio rules in a continuous-time model (1971)Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Portfolio Choice Problems (2010)Are Stocks Really Less Volatile in the Long Run? (2012)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Stochastic Calculus with Respect to Gaussian Processes (2001)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Martingale Methods in Financial Modelling (1997)Alternative models for stock price dynamics (2003)Multilevel Monte Carlo Path Simulation (2008)Discrete time hedging errors for options with irregular payoffs (2001)Quantitative approximation of certain stochastic integrals (2002)Inference for volatility-type objects and implications for hedging (2008)
this work references cited by second hop

References

  • 2016Numerical solution of stochastic differential equations5,001 cited
  • 2006The Malliavin Calculus and Related Topics2,470 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1998Asymptotic error distributions for the Euler method for stochastic differential equations400 cited
  • 2003A Monte Carlo Method for Optimal Portfolios306 cited
  • 1991A generalized clark representation formula, with application to optimal portfolios271 cited
  • 2004On the Malliavin approach to Monte Carlo approximation of conditional expectations81 cited
  • 1980Limit Distributions for the Error in Approximations of Stochastic Integrals76 cited

Cited by

  • 2008Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion34 cited

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