Works matching DE "MALLIAVIN calculus"

Results: 372

ON THE IMPLIED VOLATILITY OF EUROPEAN AND ASIAN CALL OPTIONS UNDER THE STOCHASTIC VOLATILITY BACHELIER MODEL.

Published in:

International Journal of Theoretical & Applied Finance, 2024, v. 27, n. 7/8, p. 1, doi. 10.1142/S0219024925500037

By:

ALÒS, ELISA;
NUALART, EULALIA;
PRAVOSUD, MAKAR

Publication type:

Article

An Approximation to the Invariant Measure of the Limiting Diffusion of G / Ph / n + GI Queues in the Halfin–Whitt Regime and Related Asymptotics.

Published in:

Mathematics of Operations Research, 2025, v. 50, n. 2, p. 783, doi. 10.1287/moor.2021.0241

By:

Jin, Xinghu;
Pang, Guodong;
Xu, Lihu;
Xu, Xin

Publication type:

Article

An Asymptotic Expansion for Forward-Backward SDEs: A Malliavin Calculus Approach.

Published in:

Asia-Pacific Financial Markets, 2016, v. 23, n. 4, p. 337, doi. 10.1007/s10690-016-9220-z

By:

Takahashi, Akihiko;
Yamada, Toshihiro

Publication type:

Article

Pricing Discrete Barrier Options Under Stochastic Volatility.

Published in:

Asia-Pacific Financial Markets, 2012, v. 19, n. 3, p. 205, doi. 10.1007/s10690-011-9147-3

By:

Shiraya, Kenichiro;
Takahashi, Akihiko;
Yamada, Toshihiro

Publication type:

Article

ItÃ´ maps and analysis on path spaces.

Published in:

Mathematische Zeitschrift, 2007, v. 257, n. 3, p. 643, doi. 10.1007/s00209-007-0145-0

By:

K. Elworthy;
Xue-Mei Li

Publication type:

Article

Strong error analysis of Euler methods for overdamped generalized Langevin equations with fractional noise: Nonlinear case.

Published in:

ESAIM: Mathematical Modelling & Numerical Analysis (ESAIM: M2AN), 2023, v. 57, n. 4, p. 1981, doi. 10.1051/m2an/2023015

By:

Dai, Xinjie;
Hong, Jialin;
Sheng, Derui;
Zhou, Tau

Publication type:

Article

Operator splitting around Euler–Maruyama scheme and high order discretization of heat kernels.

Published in:

ESAIM: Mathematical Modelling & Numerical Analysis (ESAIM: M2AN), 2021, v. 55, p. S323, doi. 10.1051/m2an/2020043

By:

Iguchi, Yuga;
Yamada, Toshihiro

Publication type:

Article

The convergence of exponential Euler method for weighted fractional stochastic equations.

Published in:

Computational Methods for Differential Equations, 2022, v. 10, n. 2, p. 538, doi. 10.22034/cmde.2021.41430.1795

By:

Mahmoudi, Fatemeh;
Tahmasebi, Mahdieh

Publication type:

Article

STOCHASTIC INTEGRAL REPRESENTATION OF POISSON FUNCTIONALS WITH AN EXPLICIT FORM OF THE INTEGRAND.

Published in:

Reports of Enlarged Sessions of Seminar of I. Vekua Institute of Applied Mathematics, 2019, n. 33, p. 31

By:

Jaoshvili, Vakhtang;
Mamporia, Badri;
Purtukhia, Omar

Publication type:

Article

ABOUT ONE METHOD OF STOCHASTIC INTEGRAL REPRESENTATION OF BROWNIAN FUNCTIONAL.

Published in:

Reports of Enlarged Sessions of Seminar of I. Vekua Institute of Applied Mathematics, 2018, n. 32, p. 43

By:

Mamporia, Badri;
Purtukhia, Omar

Publication type:

Article

Bismut–Elworthy–Li formula for subordinated Brownian motion applied to hedging financial derivatives.

Published in:

Cogent Economics & Finance, 2017, v. 5, n. 1, p. N.PAG, doi. 10.1080/23322039.2017.1384125

By:

Kateregga, M.;
Mataramvura, S.;
Taylor, D.

Publication type:

Article

Maximum Principle of Discrete Stochastic Control System Driven by Both Fractional Noise and White Noise.

Published in:

Discrete Dynamics in Nature & Society, 2020, p. 1, doi. 10.1155/2020/1959050

By:

Han, Yuecai;
Li, Zheng

Publication type:

Article

Nadaraya-Watson estimators for stochastic differential equations driven by fractional Brownian motion.

Published in:

Stochastic Models, 2024, v. 40, n. 3, p. 502, doi. 10.1080/15326349.2023.2275298

By:

Han, Yuecai;
Zhang, Dingwen

Publication type:

Article

Utility Maximization Under Bounded Expected Loss.

Published in:

Stochastic Models, 2009, v. 25, n. 3, p. 375, doi. 10.1080/15326340903088495

By:

Gabih, Abdelali;
Sass, Jörn;
Wunderlich, Ralf

Publication type:

Article

Hand-assisted laparoscopic cystotomy for cystic calculus removal in male horses (3 cases).

Published in:

Canadian Veterinary Journal / Revue Vétérinaire Canadienne, 2021, v. 62, n. 1, p. 22

By:

Merchan, Alejandro;
Barrett, Elizabeth J.;
Rodgerson, Dwayne H.

Publication type:

Article

Fractional calculus in mathematical oncology.

Published in:

Scientific Reports, 2023, v. 13, n. 1, p. 1, doi. 10.1038/s41598-023-37196-9

By:

Alinei-Poiana, Tudor;
Dulf, Eva-H.;
Kovacs, Levente

Publication type:

Article

A pricing option approach based on backward stochastic differential equation theory.

Published in:

Discrete & Continuous Dynamical Systems - Series S, 2019, v. 12, n. 4/5, p. 969, doi. 10.3934/dcdss.2019065

By:

Jiang, Xiao-Qian;
Zhang, Lun-Chuan

Publication type:

Article

Asymptotic Bismut formula for Lions derivative of McKean-Vlasov neutral stochastic differential equations with infinite memory.

Published in:

Communications on Pure & Applied Analysis, 2025, v. 24, n. 6, p. 1, doi. 10.3934/cpaa.2025026

By:

Wang, Lixi;
Li, Junping

Publication type:

Article

Density functions of distribution dependent SDEs driven by Lévy noises.

Published in:

Communications on Pure & Applied Analysis, 2021, v. 20, n. 6, p. 2399, doi. 10.3934/cpaa.2021087

By:

Song, Yulin

Publication type:

Article

Exponential mixing for the fractional Magneto-Hydrodynamic equations with degenerate stochastic forcing.

Published in:

Communications on Pure & Applied Analysis, 2020, v. 19, n. 9, p. 4479, doi. 10.3934/cpaa.2020204

By:

Peng, Xuhui;
Huang, Jianhua;
Zheng, Yan

Publication type:

Article

The Convergence Rate from Discrete to Continuous Optimal Investment Stopping Problem.

Published in:

Chinese Annals of Mathematics, 2021, v. 42, n. 2, p. 259, doi. 10.1007/s11401-021-0256-7

By:

Sun, Dingqian

Publication type:

Article

On Completeness and Minimality of Random Exponential System in a Weighted Banach Space of Functions Continuous on the Real Line*.

Published in:

Chinese Annals of Mathematics, 2006, v. 27, n. 3, p. 303, doi. 10.1007/s11401-004-0494-5

By:

Zhiqiang Gao;
Guantie Deng

Publication type:

Article

Stochastic Linear Quadratic Optimal Control Problems with Random Coefficients.

Published in:

Chinese Annals of Mathematics, 2000, v. 21, n. 3, p. 323, doi. 10.1142/S0252959900000339

By:

Chen, Shuping;
Yong, Jiongmin

Publication type:

Article

Modifying an approximation process using non-Newtonian calculus.

Published in:

Studia Universitatis Babeş-Bolyai, Mathematica, 2020, v. 65, n. 2, p. 291, doi. 10.24193/subbmath.2020.2.10

By:

Agratini, Octavian;
Karsli, Harun

Publication type:

Article

Stochastic Schrödinger equation driven by cylindrical Wiener process and fractional Brownian motion.

Published in:

Studia Universitatis Babeş-Bolyai, Mathematica, 2011, v. 56, n. 2, p. 381

By:

Grecksch, Wilfried;
Lisei, Hannelore

Publication type:

Article

Analysis of Markov chain approximation for Asian options and occupation-time derivatives: Greeks and convergence rates.

Published in:

Mathematical Methods of Operations Research, 2021, v. 93, n. 2, p. 359, doi. 10.1007/s00186-020-00735-5

By:

Yang, Wensheng;
Ma, Jingtang;
Cui, Zhenyu

Publication type:

Article

Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus.

Published in:

Mathematical Methods of Operations Research, 2011, v. 74, n. 1, p. 93, doi. 10.1007/s00186-011-0352-7

By:

Yang, Zhaojun;
Ewald, Christian-Oliver;
Menkens, Olaf

Publication type:

Article

Optimal portfolio policies under bounded expected loss and partial information.

Published in:

Mathematical Methods of Operations Research, 2010, v. 72, n. 1, p. 25, doi. 10.1007/s00186-010-0300-y

By:

Sass, Jörn;
Wunderlich, Ralf

Publication type:

Article

Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach.

Published in:

Journal of Real Estate Finance & Economics, 2019, v. 59, n. 4, p. 673, doi. 10.1007/s11146-018-9688-6

By:

Yilmaz, Bilgi;
Selcuk-Kestel, A. Sevtap

Publication type:

Article

Short-Time Behavior in Arithmetic Asian Option Price Under a Stochastic Volatility Model with Jumps.

Published in:

New Mathematics & Natural Computation, 2023, v. 19, n. 3, p. 891, doi. 10.1142/S1793005723500412

By:

Jafari, Hossein;
Rahimi, Ghazaleh

Publication type:

Article

Malliavin calculus of Bismut type without probability.

Published in:

Proceedings of the Indian Academy of Sciences: Mathematical Sciences, 2006, v. 116, n. 4, p. 507

By:

Léandre, Rémi

Publication type:

Article

Computation of the Delta of European options under stochastic volatility models.

Published in:

Computational Management Science, 2018, v. 15, n. 2, p. 213, doi. 10.1007/s10287-018-0316-y

By:

Yolcu-Okur, Yeliz;
Sayer, Tilman;
Yilmaz, Bilgi;
Inkaya, B. Alper

Publication type:

Article

Tail processes and tail measures: An approach via Palm calculus.

Published in:

Extremes, 2023, v. 26, n. 4, p. 715, doi. 10.1007/s10687-023-00472-y

By:

Last, Günter

Publication type:

Article

Quasi-Monte Carlo-Based Conditional Malliavin Method for Continuous-Time Asian Option Greeks.

Published in:

Computational Economics, 2023, v. 62, n. 1, p. 325, doi. 10.1007/s10614-022-10257-3

By:

Yu, Chao;
Wang, Xiaoqun

Publication type:

Article

Asymptotic computation of Greeks under a stochastic volatility model.

Published in:

Communications for Statistical Applications & Methods, 2016, v. 23, n. 1, p. 21, doi. 10.5351/CSAM.2016.23.1.021

By:

Sang-Hyeon Park;
Kiseop Lee

Publication type:

Article

Estimation of Hurst Parameter in Longitudinal Data with Long Memory.

Published in:

Communications for Statistical Applications & Methods, 2015, v. 22, n. 3, p. 295, doi. 10.5351/CSAM.2015.22.3.295

By:

Yoon Tae Kim;
Hyun Suk Park

Publication type:

Article

Mean–variance portfolio selection under partial information with drift uncertainty.

Published in:

Quantitative Finance, 2021, v. 21, n. 9, p. 1461, doi. 10.1080/14697688.2021.1889650

By:

Xiong, Jie;
Xu, Zuo Quan;
Zheng, Jiayu

Publication type:

Article

A second-order discretization with Malliavin weight and Quasi-Monte Carlo method for option pricing.

Published in:

Quantitative Finance, 2020, v. 20, n. 11, p. 1825, doi. 10.1080/14697688.2018.1430371

By:

Yamada, Toshihiro;
Yamamoto, Kenta

Publication type:

Article

Stochastic Flows and Jump-Diffusions: by Hiroshi Kunita, Springer (2019). Paperback. ISBN 978-981-13-3800-7; 978-981-13-3801-4.

Published in:

2020

By:

Siu, Tak Kuen

Publication type:

Book Review

On the short-maturity behaviour of the implied volatility skew for random strike options and applications to option pricing approximation.

Published in:

Quantitative Finance, 2016, v. 16, n. 1, p. 31, doi. 10.1080/14697688.2015.1013499

By:

Alòs, Elisa;
León, Jorge A.

Publication type:

Article

Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes.

Published in:

Quantitative Finance, 2013, v. 13, n. 8, p. 1257, doi. 10.1080/14697688.2012.756604

By:

Bayazit, Dervis;
Nolder, CraigA.

Publication type:

Article

Computation of Greeks for asset price dynamics driven by stable and tempered stable processes.

Published in:

Quantitative Finance, 2013, v. 13, n. 8, p. 1303, doi. 10.1080/14697688.2011.589403

By:

Kawai, Reiichiro;
Takeuchi, Atsushi

Publication type:

Article

A stochastic frontier model based on Rayleigh distribution.

Published in:

Electronic Journal of Applied Statistical Analysis, 2014, v. 7, n. 2, p. 218, doi. 10.1285/i20705948v7n2p218

By:

Oliviero, Rosario

Publication type:

Article

A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting.

Published in:

Monte Carlo Methods & Applications, 2022, v. 28, n. 2, p. 97, doi. 10.1515/mcma-2022-2109

By:

Akiyama, Naho;
Yamada, Toshihiro

Publication type:

Article

High order weak approximation for irregular functionals of time-inhomogeneous SDEs.

Published in:

Monte Carlo Methods & Applications, 2021, v. 27, n. 2, p. 117, doi. 10.1515/mcma-2021-2085

By:

Yamada, Toshihiro

Publication type:

Article

A second-order discretization for forward-backward SDEs using local approximations with Malliavin calculus.

Published in:

Monte Carlo Methods & Applications, 2019, v. 25, n. 4, p. 341, doi. 10.1515/mcma-2019-2053

By:

Naito, Riu;
Yamada, Toshihiro

Publication type:

Article

Toward a coherent Monte Carlo simulation of CVA.

Published in:

Monte Carlo Methods & Applications, 2014, v. 20, n. 3, p. 195, doi. 10.1515/mcma-2013-0026

By:

Abbas-Turki, Lokman A.;
Bouselmi, Aych I.;
Mikou, Mohammed A.

Publication type:

Article

Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach.

Published in:

Monte Carlo Methods & Applications, 2005, v. 11, n. 2, p. 97, doi. 10.1515/156939605777585944

By:

Bally, Vlad;
Caramellino, Lucia;
Zanette, Antonino

Publication type:

Article

Monte Carlo simulation of killed diffusion.

Published in:

Monte Carlo Methods & Applications, 2000, v. 6, n. 4, p. 263, doi. 10.1515/mcma.2000.6.4.263

By:

Hausenblas, Erika

Publication type:

Article

Large Deviations for Small Noise Hypoelliptic Diffusion Bridges on Sub-Riemannian Manifolds.

Published in:

Publications of the Research Institute for Mathematical Sciences, 2024, v. 60, n. 1, p. 145, doi. 10.4171/PRIMS/60-1-4

By:

YUZURU INAHAMA

Publication type:

Article