Pages that link to "Item:Q2386499"
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The following pages link to Stochastic calculus of variations in mathematical finance. (Q2386499):
Displaying 50 items.
- A weak approximation with asymptotic expansion and multidimensional Malliavin weights (Q292908) (← links)
- Computing deltas without derivatives (Q522065) (← links)
- Riesz transform and integration by parts formulas for random variables (Q544522) (← links)
- On the Monte Carlo simulation of BSDEs: an improvement on the Malliavin weights (Q981018) (← links)
- Real-time estimation scheme for the spot cross volatility of jump diffusion processes (Q982924) (← links)
- On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures (Q988681) (← links)
- A non-parametric calibration of the HJM geometry: An application of Itô calculus to financial statistics (Q1000328) (← links)
- Density minoration of a strongly non-degenerated random variable (Q1028327) (← links)
- Malliavin calculus in Lévy spaces and applications to finance. (Q1039033) (← links)
- Tube estimates for diffusion processes under a weak Hörmander condition (Q1635973) (← links)
- Sensitivity of rough differential equations: an approach through the omega lemma (Q1690299) (← links)
- Some aspects of strong inversion formulas of an SFT (Q1742895) (← links)
- Asymptotically optimal pointwise and minimax quickest change-point detection for dependent data (Q1744230) (← links)
- Derivative formulae for stochastic differential equations driven by Poisson random measures (Q1754605) (← links)
- The full replica symmetry breaking in the Ising spin glass on random regular graph (Q1756788) (← links)
- Malliavin calculus applied to finance (Q1859758) (← links)
- Pricing discrete barrier options under stochastic volatility (Q1929151) (← links)
- A link of stochastic differential equations to nonlinear parabolic equations (Q1933996) (← links)
- Parametric estimation for discretely observed stochastic processes with jumps (Q1952110) (← links)
- Applications of Malliavin calculus to Monte Carlo methods in finance (Q1979069) (← links)
- Parametric inference for hypoelliptic ergodic diffusions with full observations (Q2023472) (← links)
- Simplified stochastic calculus with applications in economics and finance (Q2030297) (← links)
- High order weak approximation for irregular functionals of time-inhomogeneous SDEs (Q2040466) (← links)
- A weak approximation method for irregular functionals of hypoelliptic diffusions (Q2057274) (← links)
- A Bismut-Elworthy inequality for a Wasserstein diffusion on the circle (Q2093324) (← links)
- A higher order weak approximation of McKean-Vlasov type SDEs (Q2132430) (← links)
- A new efficient approximation scheme for solving high-dimensional semilinear PDEs: control variate method for deep BSDE solver (Q2133701) (← links)
- Non-parametric news impact curve: a variational approach (Q2156537) (← links)
- Tools for Malliavin calculus in UMD Banach spaces (Q2248977) (← links)
- Derivative formulae for SDEs driven by multiplicative \(\alpha\)-stable-like processes (Q2253847) (← links)
- Necessary and sufficient conditions for path-independence of Girsanov transformation for infinite-dimensional stochastic evolution equations (Q2259125) (← links)
- Integration by parts formula for killed processes: a point of view from approximation theory (Q2274216) (← links)
- Hölder continuity of the solutions to a class of SPDE's arising from branching particle systems in a random environment (Q2279298) (← links)
- A control variate method for weak approximation of SDEs via discretization of numerical error of asymptotic expansion (Q2335720) (← links)
- Pathwise differentiability of reflected diffusions in convex polyhedral domains (Q2337831) (← links)
- Pricing and exercising American options: an asymptotic expansion approach (Q2338522) (← links)
- Analysis of volatility feedback and leverage effects on the ISE30 index using high frequency data (Q2349603) (← links)
- A higher order weak approximation scheme of multidimensional stochastic differential equations using Malliavin weights (Q2357445) (← links)
- A Fourier transform method for nonparametric estimation of multivariate volatility (Q2388987) (← links)
- Positivity and lower bounds for the density of Wiener functionals (Q2391857) (← links)
- A discrete-time Clark-Ocone formula and its application to an error analysis (Q2412512) (← links)
- Malliavin derivatives in spaces with variable exponents (Q2443783) (← links)
- Estimation and prediction of a non-constant volatility (Q2471733) (← links)
- An asymptotic expansion approach to currency options with a market model of interest rates under stochastic volatility processes of spot exchange rates (Q2471737) (← links)
- Estimating multidimensional density functions for random variables in Wiener space (Q2476540) (← links)
- A discrete-time Clark-Ocone formula for Poisson functionals (Q2515784) (← links)
- An optimal control variance reduction method for density estimation (Q2518612) (← links)
- A high order weak approximation for jump-diffusions using Malliavin calculus and operator splitting (Q2671515) (← links)
- Malliavin calculus for marked binomial processes and applications (Q2679546) (← links)
- On mathematical finance (Q2717319) (← links)
