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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. 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.
  2. 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.
  3. 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.
  4. Hyungbin Park, 2014. "Pricing and Hedging Long-Term Options," Papers 1410.8160, arXiv.org, revised Mar 2016.
  5. 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.
  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. 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.
  8. de Paula, Áureo, 2009. "Inference in a synchronization game with social interactions," Journal of Econometrics, Elsevier, vol. 148(1), pages 56-71, January.
  9. Ryosuke Matsuoka & Akihiko Takahashi & Yoshihiko Uchida, 2004. "A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 11(4), pages 393-430, December.
  10. repec:spr:compst:v:74:y:2011:i:1:p:93-120 is not listed on IDEAS
  11. Reiichiro Kawai, 2012. "Likelihood ratio gradient estimation for Meixner distribution and Lévy processes," Computational Statistics, Springer, vol. 27(4), pages 739-755, December.
  12. 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 1-29.
  13. Romuald Elie, 2009. "Double Kernel estimation of sensitivities," Papers 0909.2624, arXiv.org.
  14. Arturo Kohatsu-Higa & Miquel Montero, 2001. "An application of Malliavin Calculus to Finance," Papers cond-mat/0111563, arXiv.org.
  15. Chen, Nan & Glasserman, Paul, 2007. "Malliavin Greeks without Malliavin calculus," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1689-1723, November.
  16. Eric Benhamou, 2000. "A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks," FMG Discussion Papers dp350, Financial Markets Group.
  17. Robert de Rozario, 2003. "On Higher Derivatives of Expectations," Risk and Insurance 0308001, EconWPA.
  18. 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.
  19. 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.
  20. 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.
  21. S. Kuchuk-Iatsenko & Y. Mishura & Y. Munchak, 2016. "Application of Malliavin calculus to exact and approximate option pricing under stochastic volatility," Papers 1608.00230, arXiv.org.
  22. 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.
  23. 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.
  24. 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.
  25. Julio Backhoff Veraguas & Francisco Silva, 2015. "Sensitivity analysis for expected utility maximization in incomplete Brownian market models," Papers 1504.02734, arXiv.org, revised Feb 2017.
  26. D. Baños & T. Meyer-Brandis & F. Proske & S. Duedahl, 2017. "Computing deltas without derivatives," Finance and Stochastics, Springer, vol. 21(2), pages 509-549, April.
  27. Hyungbin Park, 2015. "Sensitivity Analysis of Long-Term Cash Flows," Papers 1511.03744, arXiv.org.
  28. 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.
  29. Tebaldi, Claudio, 2005. "Hedging using simulation: a least squares approach," Journal of Economic Dynamics and Control, Elsevier, vol. 29(8), pages 1287-1312, August.
  30. Mascagni Michael & Qiu Yue & Hin Lin-Yee, 2014. "High performance computing in quantitative finance: A review from the pseudo-random number generator perspective," Monte Carlo Methods and Applications, De Gruyter, vol. 20(2), pages 101-120, June.
  31. 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.
  32. 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.
  33. 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.
  34. Barty Kengy & Girardeau Pierre & Strugarek Cyrille & Roy Jean-Sébastien, 2008. "Application of kernel-based stochastic gradient algorithms to option pricing," Monte Carlo Methods and Applications, De Gruyter, vol. 14(2), pages 99-127, January.
  35. Romuald Elie, 2009. "Double Kernel estimation of sensitivities," Post-Print hal-00416449, HAL.
  36. 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.
  37. 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.
  38. Detemple, Jerome & Garcia, Rene & Rindisbacher, Marcel, 2006. "Asymptotic properties of Monte Carlo estimators of diffusion processes," Journal of Econometrics, Elsevier, vol. 134(1), pages 1-68, September.
  39. 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.
  40. Ernst Eberlein & Kathrin Glau & Antonis Papapantoleon, 2008. "Analysis of Fourier transform valuation formulas and applications," Papers 0809.3405, arXiv.org, revised Sep 2009.
  41. 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.
  42. Cont, Rama & Lu, Yi, 2016. "Weak approximation of martingale representations," Stochastic Processes and their Applications, Elsevier, vol. 126(3), pages 857-882.
  43. 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.
  44. repec:pri:metric:wp033_2012_hansen_borovicka_hendricks_scheinkman_risk%20price%20dynamics. is not listed on IDEAS
  45. Kenichiro Shiraya & Akihiko Takahashi & Toshihiro Yamada, 2012. "Pricing Discrete Barrier Options Under Stochastic Volatility," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(3), pages 205-232, September.
  46. 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.
  47. 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.
  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. 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.
  50. Moez Mrad & Nizar Touzi & Amina Zeghal, 2006. "Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options," Computational Economics, Springer;Society for Computational Economics, vol. 27(4), pages 497-531, June.
  51. 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.
  52. Montero, Miquel & Kohatsu-Higa, Arturo, 2003. "Malliavin Calculus applied to finance," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 320(C), pages 548-570.
  53. 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.
  54. Davis, Mark H.A. & Johansson, Martin P., 2006. "Malliavin Monte Carlo Greeks for jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 116(1), pages 101-129, January.
  55. 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.
  56. Ma, Jin & Zhang, Jianfeng, 2005. "Representations and regularities for solutions to BSDEs with reflections," Stochastic Processes and their Applications, Elsevier, vol. 115(4), pages 539-569, April.
  57. 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.
  58. 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.
  59. 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.
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