Sensitivities via Rough Paths
Probability
2019-01-16 v9
Abstract
Motivated by a problematic coming from mathematical finance, this paper is devoted to existing and additional results of continuity and differentiability of the It\^o map associated to rough differential equations. These regularity results together with Malliavin calculus are applied to sensitivities analysis for stochastic differential equations driven by multidimensional Gaussian processes with continuous paths, especially fractional Brownian motions. Precisely, in that framework, results on computation of greeks for It\^o's stochastic differential equations are extended. An application in mathematical finance, and simulations, are provided.
Keywords
Cite
@article{arxiv.1108.0852,
title = {Sensitivities via Rough Paths},
author = {Nicolas Marie},
journal= {arXiv preprint arXiv:1108.0852},
year = {2019}
}
Comments
36 pages, 1 figure