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Volume 13; Issue 1
Main
Mathematical Finance
Volume 13; Issue 1
Mathematical Finance
Volume 13; Issue 1
1
Local Vega Index and Variance Reduction Methods
Hans-Peter Bermin
,
Arturo Kohatsu-Higa
,
Miquel Montero
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 127 KB
Your tags:
english, 2003
2
Monte Carlo Evaluation of Greeks for Multidimensional Barrier and Lookback Options
Guillaume Bernis
,
Emmanuel Gobet
,
Arturo Kohatsu-Higa
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 197 KB
Your tags:
english, 2003
3
Error Calculus and Path Sensitivity in Financial Models
Nicolas Bouleau
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 156 KB
Your tags:
english, 2003
4
Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs
Jakša Cvitanić
,
Jin Ma
,
Jianfeng Zhang
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 150 KB
Your tags:
english, 2003
5
Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
Peter Imkeller
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 134 KB
Your tags:
english, 2003
6
An Anticipating Calculus Approach to the Utility Maximization of an Insider
Jorge A. León
,
Reyla Navarro
,
David Nualart
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 127 KB
Your tags:
english, 2003
7
Quantiles of the Euler Scheme for Diffusion Processes and Financial Applications
Denis Talay
,
Ziyu Zheng
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 117 KB
Your tags:
english, 2003
8
Analysis of Error with Malliavin Calculus: Application to Hedging
E. Temam
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 143 KB
Your tags:
english, 2003
9
Preface
D. Lamberton
,
B. Lapeyre
,
A. Sulem
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 38 KB
Your tags:
english, 2003
10
First-Order Schemes in the Numerical Quantization Method
V. Bally
,
G. Pagès
,
J. Printems
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 142 KB
Your tags:
english, 2003
11
The Price-Volatility Feedback Rate: An Implementable Mathematical Indicator of Market Stability
Emilio Barucci
,
Paul Malliavin
,
Maria Elvira Mancino
,
Roberto Renò
,
Anton Thalmaier
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 176 KB
Your tags:
english, 2003
12
Optimal Malliavin Weighting Function for the Computation of the Greeks
Eric Benhamou
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 166 KB
Your tags:
english, 2003
13
Explicit Representation of the Minimal Variance Portfolio in Markets Driven by Lévy Processes
Fred Espen Benth
,
Giulia Di Nunno
,
Arne Løkka
,
Bernt Øksendal
,
Frank Proske
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 153 KB
Your tags:
english, 2003
14
Hedging Options: The Malliavin Calculus Approach versus the Δ-Hedging Approach
Hans-Peter Bermin
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 117 KB
Your tags:
english, 2003
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