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Citations for "Applications of Malliavin calculus to Monte Carlo methods in finance"

by Eric Fournié & Jean-Michel Lasry & Pierre-Louis Lions & Jérôme Lebuchoux & Nizar Touzi

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  1. Zhang, Xicheng, 2013. "Derivative formulas and gradient estimates for SDEs driven by α-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1213-1228.
  2. Romuald Elie, 2009. "Double Kernel estimation of sensitivities," Papers 0909.2624, arXiv.org.
  3. Zhaojun Yang & Christian-Oliver Ewald & Olaf Menkens, 2011. "Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 74(1), pages 93-120, August.
  4. Claudio Tebaldi, 2002. "Hedging using simulation: a least squares approach," Computing in Economics and Finance 2002 279, Society for Computational Economics.
  5. Ryosuke Matsuoka & Akihiko Takahashi & Yoshihiko Uchida, 2004. "A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer, vol. 11(4), pages 393-430, December.
  6. Bouchard, Bruno & Chassagneux, Jean-François, 2008. "Discrete-time approximation for continuously and discretely reflected BSDEs," Stochastic Processes and their Applications, Elsevier, vol. 118(12), pages 2269-2293, December.
  7. Suda, Shintaro & Muroi, Yoshifumi, 2015. "Computation of Greeks using binomial trees in a jump-diffusion model," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 93-110.
  8. Jérôme B. Detemple & René Garcia & Marcel Rindisbacher, 2003. "Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes," CIRANO Working Papers 2003s-11, CIRANO.
  9. Arturo Kohatsu-Higa & Miquel Montero, 2001. "An application of Malliavin Calculus to Finance," Papers cond-mat/0111563, arXiv.org.
  10. Nakatsu, Tomonori, 2013. "Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum," Statistics & Probability Letters, Elsevier, vol. 83(11), pages 2499-2506.
  11. Chen, Nan & Glasserman, Paul, 2007. "Malliavin Greeks without Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1689-1723, November.
  12. Boyle, Phelim & Imai, Junichi & Tan, Ken Seng, 2008. "Computation of optimal portfolios using simulation-based dimension reduction," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 327-338, December.
  13. Privault, Nicolas & Wei, Xiao, 2004. "A Malliavin calculus approach to sensitivity analysis in insurance," Insurance: Mathematics and Economics, Elsevier, vol. 35(3), pages 679-690, December.
  14. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2010. "On Pricing Barrier Options with Discrete Monitoring," CIRJE F-Series CIRJE-F-725, CIRJE, Faculty of Economics, University of Tokyo.
  15. Moez Mrad & Nizar Touzi & Amina Zeghal, 2006. "Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options," Computational Economics, Society for Computational Economics, vol. 27(4), pages 497-531, June.
  16. Hyungbin Park, 2014. "Pricing and Hedging Long-Term Options," Papers 1410.8160, arXiv.org, revised Mar 2016.
  17. Romuald Elie & Emmanuel Lépinette, 2015. "Approximate hedging for nonlinear transaction costs on the volume of traded assets," Finance and Stochastics, Springer, vol. 19(3), pages 541-581, July.
  18. E. Benhamou & E. Gobet & M. Miri, 2009. "Smart expansion and fast calibration for jump diffusions," Finance and Stochastics, Springer, vol. 13(4), pages 563-589, September.
  19. Julio Backhoff Veraguas & Francisco Silva, 2015. "Sensitivity analysis for expected utility maximization in incomplete brownian market models," Papers 1504.02734, arXiv.org, revised Jul 2016.
  20. Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
  21. Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2005. "Asymptotic Properties of Monte Carlo Estimators of Derivatives," Management Science, INFORMS, vol. 51(11), pages 1657-1675, November.
  22. Kawai, Reiichiro & Takeuchi, Atsushi, 2010. "Sensitivity analysis for averaged asset price dynamics with gamma processes," Statistics & Probability Letters, Elsevier, vol. 80(1), pages 42-49, January.
  23. Robert de Rozario, 2003. "On Higher Derivatives of Expectations," Risk and Insurance 0308001, EconWPA.
  24. Akihiko Takahashi & Toshihiro Yamada, 2012. "A Remark on Approximation of the Solutions to Partial Differential Equations in Finance," CARF F-Series CARF-F-273, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2012.
  25. Ewald, Christian-Oliver & Yor, Marc, 2015. "On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options," Journal of Economic Dynamics and Control, Elsevier, vol. 59(C), pages 22-36.
  26. Lim, Andrew E.B. & Wong, Bernard, 2010. "A benchmarking approach to optimal asset allocation for insurers and pension funds," Insurance: Mathematics and Economics, Elsevier, vol. 46(2), pages 317-327, April.
  27. Cont, Rama & Lu, Yi, 2016. "Weak approximation of martingale representations," Stochastic Processes and their Applications, Elsevier, vol. 126(3), pages 857-882.
  28. Reiichiro Kawai, 2012. "Likelihood ratio gradient estimation for Meixner distribution and Lévy processes," Computational Statistics, Springer, vol. 27(4), pages 739-755, December.
  29. Beskos, Alexandros & Kalogeropoulos, Konstantinos & Pazos, Erik, 2013. "Advanced MCMC methods for sampling on diffusion pathspace," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1415-1453.
  30. Carr, Peter & Ewald, Christian-Oliver & Xiao, Yajun, 2008. "On the qualitative effect of volatility and duration on prices of Asian options," Finance Research Letters, Elsevier, vol. 5(3), pages 162-171, September.
  31. Akihiko Takahashi & Toshihiro Yamada, 2012. "A Remark on Approximation of the Solutions to Partial Differential Equations in Finance," CIRJE F-Series CIRJE-F-842, CIRJE, Faculty of Economics, University of Tokyo.
  32. de Paula, Áureo, 2009. "Inference in a synchronization game with social interactions," Journal of Econometrics, Elsevier, vol. 148(1), pages 56-71, January.
  33. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  34. Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2008. "Analysis of Fourier transform valuation formulas and applications," Papers 0809.3405, arXiv.org, revised Sep 2009.
  35. Muroi, Yoshifumi & Suda, Shintaro, 2013. "Discrete Malliavin calculus and computations of greeks in the binomial tree," European Journal of Operational Research, Elsevier, vol. 231(2), pages 349-361.
  36. repec:spr:compst:v:74:y:2011:i:1:p:93-120 is not listed on IDEAS
  37. repec:pri:metric:wp033_2012_hansen_borovicka_hendricks_scheinkman_risk%20price%20dynamics. is not listed on IDEAS
  38. Akihiko Takahashi & Toshihiro Yamada, 2009. "An Asymptotic Expansion with Push-Down of Malliavin Weights," CIRJE F-Series CIRJE-F-695, CIRJE, Faculty of Economics, University of Tokyo.
  39. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2012. "Pricing Discrete Barrier Options Under Stochastic Volatility," Asia-Pacific Financial Markets, Springer, vol. 19(3), pages 205-232, September.
  40. Christian P. Fries & Joerg Kampen, 2005. "Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model)," Finance 0504010, EconWPA.
  41. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2010. "Pricing Discrete Barrier Options under Stochastic Volatility," CARF F-Series CARF-F-210, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Aug 2011.
  42. El-Khatib, Youssef & Abdulnasser, Hatemi-J, 2011. "On the calculation of price sensitivities with jump-diffusion structure," MPRA Paper 30596, University Library of Munich, Germany.
  43. Stefan Ankirchner & Christian Pigorsch & Nikolaus Schweizer, 2014. "Estimating Residual Hedging Risk With Least-Squares Monte Carlo," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(07), pages 1450042-1-1.
  44. Akihiko Takahashi & Toshihiro Yamada, 2011. "On Approximation of the Solutions to Partial Differential Equations in Finance," CIRJE F-Series CIRJE-F-815, CIRJE, Faculty of Economics, University of Tokyo.
  45. Hyungbin Park, 2015. "Sensitivity Analysis of Long-Term Cash Flows," Papers 1511.03744, arXiv.org.
  46. Romuald Elie, 2009. "Double Kernel estimation of sensitivities," Post-Print hal-00416449, HAL.
  47. Akihiko Takahashi & Toshihiro Yamada, 2009. "An Asymptotic Expansion with Push-Down of Malliavin Weights," CARF F-Series CARF-F-194, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Apr 2011.
  48. Detemple, Jerome & Rindisbacher, Marcel, 2007. "Monte Carlo methods for derivatives of options with discontinuous payoffs," Computational Statistics & Data Analysis, Elsevier, vol. 51(7), pages 3393-3417, April.
  49. Akihiko Takahashi & Toshihiro Yamada, 2012. "On Approximation of the Solutions to Partial Differential Equations in Finance," CARF F-Series CARF-F-249, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo, revised Mar 2012.
  50. Boyle, Phelim & Potapchik, Alexander, 2008. "Prices and sensitivities of Asian options: A survey," Insurance: Mathematics and Economics, Elsevier, vol. 42(1), pages 189-211, February.
  51. N. Hilber & N. Reich & C. Schwab & C. Winter, 2009. "Numerical methods for Lévy processes," Finance and Stochastics, Springer, vol. 13(4), pages 471-500, September.
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