scientific article; zbMATH DE number 7587162

zbMath1505.60059MaRDI QIDQ5106174

Adaobi M. Udoye, G. O. S. Ekhaguere

Publication date: 16 September 2022

Full work available at URL: https://pjm.ppu.edu/sites/default/files/papers/PJM_May_2022_159_to_176.pdf

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Lévy processesMalliavin calculusVasicek modelvariance gamma processinterest rate derivatives

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Stochastic calculus of variations and the Malliavin calculus (60H07)

Cites Work

• Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
• Computation of Greeks using Malliavin's calculus in jump type market models
• Malliavin calculus in Lévy spaces and applications to finance.
• Financial Modelling with Jump Processes
• Lévy Processes and Stochastic Calculus
• The Variance Gamma Process and Option Pricing
• Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes

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