The Malliavin gradient method for the calibration of stochastic dynamical models

DOI10.1016/j.amc.2005.08.050zbMath1095.65004OpenAlexW1974222483MaRDI QIDQ2493710

Christian-Oliver Ewald

Publication date: 16 June 2006

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2005.08.050

zbMATH Keywords

optimizationMalliavin calculusMonte Carlo simulationcalibrationgradient methoddiffusion-models

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stochastic calculus of variations and the Malliavin calculus (60H07) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (2)

IMPLIED VOLATILITY FROM ASIAN OPTIONS VIA MONTE CARLO METHODS ⋮ A note on the Malliavin derivative operator under change of variable

Uses Software

• PLCP

Cites Work

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• An Anticipating Calculus Approach to the Utility Maximization of an Insider
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• Functional Analysis
• An Introduction to Financial Option Valuation

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