Malliavin Calculus in Lévy spaces and Applications to Finance.

By E. Petrou. 2008

62 citations recorded by the source corpus.

The main goal of this paper is to generalize the results of Fournie et al. [7] for markets generated by Levy processes. For this reason we extend the theory of Malliavin calculus to provide the tools that are necessary for the calculation of the sensitivities, such as differentiability results for the solution of a stochastic differential equation.

Subfields: Demography, Finance

View Paper: https://www.semanticscholar.org/paper/b11425ac8718524a5f611abf4bec284740145b41

How researchers see this paper

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

In Demography

1. Peter Imkeller
2. Lukasz Delong
3. Adrien Richou

In Finance

1. Lukasz Delong
2. Peter Imkeller
3. P. Briand
4. Romuald Elie
5. Adrien Richou
6. Massimiliano Gubinelli
7. Stefan Ankirchner

Citations in the corpus

• On Malliavin's differentiability of BSDEs with time delayed generators driven by Brownian motions and Poisson random measures (2010, background): “8) follows from the chain rule for the operator Ds,0, as for Theorem 2 in [22], whereas (4.”