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Computation of Greeks using Malliavin's calculus in jump type market models
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Computation of Greeks using Malliavin's calculus in jump type market models (2006)Computation of Greeks using Malliavin's c…Malliavin Monte Carlo Greeks for jump diffusions (2005)Malliavin Monte Carlo Greeks …MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES (2005)MALLIAVIN CALCULUS AND ANTICI…Computations of Greeks in a market with jumps via the Malliavin calculus (2004)Computations of Greeks in a m…Financial Modelling with Jump Processes (2003)Financial Modelling with Jump…Error Calculus for Finance and Physics: The Language of Dirichlet Forms (2003)Error Calculus for Finance an…On Lévy processes, Malliavin calculus and market models with jumps (2002)On Lévy processes, Malliavin …Applications of Malliavin calculus to Monte-Carlo methods in finance. II (2001)Applications of Malliavin cal…Applications of Malliavin calculus to Monte Carlo methods in finance (1999)Applications of Malliavin cal…Malliavin calculus for processes with jumps (1991)Malliavin calculus for proces…Differential Calculus and Integration by Parts on Poisson Space (1990)Differential Calculus and Int…Anticipative calculus for the poisson process based on the fock space (1990)Anticipative calculus for the…On a Generalization of a Stochastic Integral (1976)Generalized stochastic integrals and the malliavin calculus (1986)Stochastic calculus with anticipating integrands (1988)Canonical Lévy process and Malliavin calculus (2006)Calcul des variations stochastique et processus de sauts (1983)Lectures on Stochastic Differential Equations and Malliavin Calculus (1984)Chaotic and variational calculus in discrete and continuous time for the poisson process (1994)The Malliavin Calculus and Related Topics (1995)Methods of Mathematical Finance (1998)The Malliavin Calculus and Related Topics (2006)Malliavin Greeks without Malliavin calculus (2007)Dynamic Valuation Decomposition Within Stochastic Economies (2012)Stochastic Integration and Differential Equations (2005)Malliavin Calculus in Lévy spaces and Applications to Finance. (2008)Malliavin Calculus and Optimal Control of Stochastic Volterra Equations (2015)The Pricing of Options and Corporate Liabilities (1973)Option pricing when underlying stock returns are discontinuous (1976)Martingale Representation of Functionals of Lévy Processes (2004)White Noise of Poisson Random Measures (2004)A quantization algorithm for solving multidimensional discrete-time optimal stopping problems (2003)Pricing and Hedging Spread Options (2003)Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations (2004)Brownian Motion and Stochastic Calculus (2007)Stochastic differential equations and applications (2008)Numerical solution of stochastic differential equations (2016)The Relative Contribution of Jumps to Total Price Variance (2005)A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008)What's Vol Got to Do with It (2010)On the existence of smooth densities for jump processes (1996)White noise generalizations of the Clark-Haussmann-Ocone theorem with application to mathematical finance (2000)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Integration by parts formula for locally smooth laws and applications to sensitivity computations (2007)Bismut–Elworthy–Li-Type Formulae for Stochastic Differential Equations with Jumps (2010)A New Kind of Accurate Numerical Method for Backward Stochastic Differential Equations (2006)A mean-field stochastic maximum principle via Malliavin calculus (2012)Monte-Carlo Valuation of American Options: Facts and New Algorithms to Improve Existing Methods (2012)
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References

  • 2003Financial Modelling with Jump Processes3,217 cited
  • 1999Applications of Malliavin calculus to Monte Carlo methods in finance549 cited
  • 1991Malliavin calculus for processes with jumps263 cited
  • 2001Applications of Malliavin calculus to Monte-Carlo methods in finance. II174 cited
  • 1990Anticipative calculus for the poisson process based on the fock space143 cited
  • 1990Differential Calculus and Integration by Parts on Poisson Space98 cited
  • 2005Malliavin Monte Carlo Greeks for jump diffusions86 cited
  • 2005MALLIAVIN CALCULUS AND ANTICIPATIVE ITÔ FORMULAE FOR LÉVY PROCESSES77 cited
  • 2002On Lévy processes, Malliavin calculus and market models with jumps75 cited
  • 2004Computations of Greeks in a market with jumps via the Malliavin calculus61 cited
  • 2003Error Calculus for Finance and Physics: The Language of Dirichlet Forms29 cited

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