Now showing items 1-6 of 6
Functional itô calculus, path-dependence and the computation of greeks
(EMAp - Escola de Matemática Aplicada, 2015)
Dupire’s functional Itˆo calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we ...
Stochastic control and differential games with path-dependent controls
In this paper we consider the functional Itˆo calculus framework to find a path- dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems with path-dependence in the controls. We also prove ...
On the numerical methods for the Heston model
In this thesis we revisit numerical methods for the simulation of the Heston model’sEuropean call. Specifically, we study the Euler, the Kahl-Jackel an two versions of theexact algorithm schemes. To perform this task, ...
Functional Itô calculus, path-dependence and the computation of Greeks
(Elsevier Science Bv, 2017-12)
Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ...
Estudo de aplicações de processos gaussianos na predição de valor de oferta de venda de apartamentos
O método de regressão (kriging) via Processos Gaussianos tem sido amplamente difundido em geoestatística na proposta de novos pontos de exploração a partir de estimação de distribuição de minérios sob o solo. O presente ...
Stochastic supply curves and liquidity costs: estimation for brazilian equities
Market Liquidity is characterized by the easiness and freedom to trade assets at desired volumes and for prices perceived as representative of their values. When there is a scarcity of bid and ask offers at those terms, ...