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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 ...