Sensitivitiesviarough paths

DOI10.1051/ps/2015001zbMath1333.60126arXiv1108.0852OpenAlexW3103322280MaRDI QIDQ2786491

Nicolas Marie

Publication date: 12 February 2016

Published in: ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1108.0852

zbMATH Keywords

fractional Brownian motionGaussian processesMalliavin calculusstochastic differential equationsmathematical financerough pathsrough differential equationssensitivities

Mathematics Subject Classification ID

Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Stochastic calculus of variations and the Malliavin calculus (60H07) Stochastic analysis (60H99)

Related Items (1)

Sensitivity of rough differential equations: an approach through the omega lemma

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Integrability and tail estimates for Gaussian rough differential equations
• Controlled differential equations as Young integrals: a simple approach
• Differential equations driven by Gaussian signals
• Differential equations driven by rough signals
• Stochastic analysis of the fractional Brownian motion
• Risk-neutral valuation. Pricing and hedging of financial derivatives.
• Computations of Greeks in a market with jumps via the Malliavin calculus
• Applications of Malliavin calculus to Monte Carlo methods in finance
• Stochastic calculus of variations in mathematical finance.
• Exact rate of convergence of some approximation schemes associated to SDEs driven by a fractional Brownian motion
• A Malliavin calculus approach to sensitivity analysis in insurance
• ON SPECTRAL SIMULATION OF FRACTIONAL BROWNIAN MOTION
• The Malliavin Calculus and Related Topics
• Multidimensional Stochastic Processes as Rough Paths
• Calculating the Greeks by cubature formulae
• Arbitrage with Fractional Brownian Motion
• System Control and Rough Paths
• A generalized mean-reverting equation and applications
• Sensitivity Analysis Using Itô--Malliavin Calculus and Martingales, and Application to Stochastic Optimal Control
• Fractional Brownian Motions, Fractional Noises and Applications

This page was built for publication: Sensitivitiesviarough paths