Optimal Malliavin Weighting Function for the Computation of the Greeks

By Eric Benhamou. 2003

52 citations recorded by the source corpus.

Subfields: Algebra and Number Theory, Discrete Mathematics and Combinatorics, Statistical and Nonlinear Physics

View Paper: https://www.semanticscholar.org/paper/7e71b89c57f1e62a0dff77eb480e938211916e4c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Algebra and Number Theory

1. Shakir Mohamed
2. Andriy Mnih
3. Paul Glasserman
4. Nan Chen
5. Mihaela Rosca
6. Michael Figurnov

In Discrete Mathematics and Combinatorics

1. Shakir Mohamed
2. Andriy Mnih
3. Mihaela Rosca
4. Michael Figurnov
5. Nan Chen
6. Paul Glasserman
7. M. Giles
8. Michael C. Fu

In Statistical and Nonlinear Physics

1. Andriy Mnih
2. Shakir Mohamed
3. Mihaela Rosca
4. Paul Glasserman
5. Nan Chen
6. Michael Figurnov
7. Max Welling
8. Yoshua Bengio

Citations in the corpus

• Malliavin Greeks without Malliavin calculus (2007, result): “This line of work originated in Fourni´e, Lasry, Lebuchoux, and Touzi [7] and includes Benhamou [ 2 ], Bermin, Kohatsu-Higa, and Montero [3], Cvitanic, Ma, and Zhang [4], Davis and Johansson [5], Fourni´e et al. [8], Gobet and Kohatsu-Higa [10], Kohatsu-Higa and Montero [14], and many others.”
• Monte Carlo Gradient Estimation in Machine Learning (2019, methodology): “orokhod integration) that allow for the interchange of dierentiation and integration and the development of unbiased estimators in such settings. We defer to the papers by Fournie et al. (1999) and Benhamou (2003) in computational nance, and, closer to machine learning, the papers by Gobet and Munos”