| 1. | Application of Malliavin Calculus and Wiener Chaos
Publishing author: BENHAMOU Eric
Co-author(s):
Doctoral dissertation (2000 - University of London - London School of Economics) - English
Online since 2002.11.29 at 13:51:45 - 717 download(s) - 7
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 1634 Ko) - Zip version (1453 Ko) |
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| 2. | Optimal Malliavin Weighting Function for the Computation of the Greeks
Publishing author: BENHAMOU Eric
Co-author(s):
Journal article (2003 - Mathematical Finance) - English
Online since 2003.09.25 at 21:09:06 - 187 download(s) - 0
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Abstract | Download (pdf - 209 Ko) - Zip version (185 Ko) |
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| 3. | Application of Malliavin calculus to the computation of the Greeks
Publishing author: ELIE Romuald
Co-author(s): PREVEL Jean-Charles
Working paper (2003 - Columbia University) - English
Online since 2004.01.06 at 12:15:01 - 226 download(s) - 2
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 1356 Ko) - Zip version (1254 Ko) |
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| 4. | A Generalisation of Malliavin Weighted Scheme for Fast Computation of the Greeks
Publishing author: BENHAMOU Eric
Co-author(s):
Working paper (2000) - English
Online since 2002.11.29 at 13:47:19 - 174 download(s) - 1
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 342 Ko) - Zip version (259 Ko) |
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| 5. | An Application of Malliavin Calculus to Continuous Time Asian Options Greeks
Publishing author: BENHAMOU Eric
Co-author(s):
Working paper (2000) - English
Online since 2002.11.29 at 13:48:26 - 260 download(s) - 2
rating(s) - Average rating (/5): 4
Abstract | Download (pdf - 292 Ko) - Zip version (223 Ko) |
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| 6. | Smart Monte Carlo: various tricks using Malliavin calculus
Publishing author: BENHAMOU Eric
Co-author(s):
Working paper (2002 - Final form in Quantitative Finance, Vol 2, No5, October 2002) - English
Online since 2002.12.03 at 22:32:02 - 405 download(s) - 0
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Abstract | Download (pdf - 215 Ko) - Zip version (160 Ko) |
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| 7. | MALLIAVIN CALCULUS FOR THE FAST COMPUTATION OF GREEKS IN MARKETS DRIVEN BY PURE-JUMP LEVY PROCESSES
Publishing author: HUEHNE Florian
Co-author(s):
Working paper (2005 - Oxford University) - English
Online since 2005.11.10 at 10:33:53 - 79 download(s) - 0
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Abstract | Download (pdf - 233 Ko) - Zip version (206 Ko) |
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| 8. | Analysis on Wiener Space and Applications (Version 2)
Publishing author: USTUNEL Ali Suleyman
Co-author(s):
Lecture notes (2004 - Ecole Nationale Superieure des Telecommunications) - English
Online since 2005.11.24 at 12:02:46 - 166 download(s) - 1
rating(s) - Average rating (/5): 5
Abstract | Download (pdf - 1006 Ko) - Zip version (892 Ko) |
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