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
english, 2003
3

Error Calculus and Path Sensitivity in Financial Models

Nicolas Bouleau
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 156 KB
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
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
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
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
english, 2003
9

Preface

D. Lamberton, B. Lapeyre, A. Sulem
Journal:
Mathematical Finance
Year:
2003
Language:
english
File:
PDF, 38 KB
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
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
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
english, 2003