Sensitivity Analysis for Time-Inhomogeneous Lévy Process: A Malliavin Calculus Approach and Numerics

DOI10.1007/978-3-319-30417-5_2zbMath1401.60085OpenAlexW2496780077MaRDI QIDQ4558889

Sidi Mohamed Lalaoui Ben Cherif, M'hamed Eddahbi

Publication date: 30 November 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-30417-5_2

zbMATH Keywords

sensitivity analysisMalliavin calculusadditive processesintegration by parts formulatime-inhomogeneous Lévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic calculus of variations and the Malliavin calculus (60H07)

Related Items

Computation of Greeks in LIBOR models driven by time–inhomogeneous Lévy processes

Cites Work

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• Integration by parts formula for locally smooth laws and applications to sensitivity computations
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• A Theory of the Term Structure of Interest Rates
• The Malliavin Calculus and Related Topics
• Financial Modelling with Jump Processes