Related papers: Convexity adjustments \`a la Malliavin

In this paper we present a new method to compute the first-order approximation of the price of derivatives on futures in the context of multiscale stochastic volatility of Fouque \textit{et al.} (2011, CUP). It provides an alternative…

This paper is devoted to pricing American options using Monte Carlo and the Malliavin calculus. Unlike the majority of articles related to this topic, in this work we will not use localization fonctions to reduce the variance. Our method is…

Let $(X_t)_{t \ge 0}$ be solution of a one-dimensional stochastic differential equation. Our aim is to study the convergence rate for the estimation of the invariant density in intermediate regime, assuming that a discrete observation of…

Scientists continue to develop increasingly complex mechanistic models to reflect their knowledge more realistically. Statistical inference using these models can be challenging since the corresponding likelihood function is often…

We develop an expansion approach for the pricing of European quanto options written on LIBOR rates (of a foreign currency). We derive the dynamics of the system of foreign LIBOR rates under the domestic forward measure and then consider the…

This paper proposes a new approach using the stochastic projected gradient method and Malliavin calculus for optimal reinsurance and investment strategies. Unlike traditional methodologies, we aim to optimize static investment and…

Assume a L\'evy process $X$ on the time interval $[0,1]$ that is an $L_2$-martingale and let $Y$ be either its stochastic exponential or $X$ itself. We consider Riemann-approximations of certain stochastic integrals driven by $Y$ and relate…

In this paper a Malliavin calculus for L\'evy processes based on a family of true derivative operators is developed. The starting point is an extension to L\'evy processes of the pioneering paper by Carlen and Pardoux [8] for the Poisson…

In [1], we calibrated a one-factor Cheyette SLV model with a local volatility that is linear in the benchmark forward rate and an uncorrelated CIR stochastic variance to 3M caplets of various maturities. While caplet smiles for many…

We investigate the use of Malliavin calculus in order to calculate the Greeks of multidimensional complex path-dependent options by simulation. For this purpose, we extend the formulas employed by Montero and Kohatsu-Higa to the…

We develop a Malliavin calculus for nonlinear Hawkes processes in the sense of Carlen and Pardoux. This approach, based on perturbations of the jump times of the process, enables the construction of a local Dirichlet form. As an…

Although many methods for computing the Greeks of discrete-time Asian options are proposed, few methods to calculate the Greeks of continuous-time Asian options are known. In this paper, we develop an integration by parts formula in the…

This paper addresses the approximation of the local volatility function in the Cheyette interest rate model. Its main contribution is an explicit analytical formula for approximating local volatility, derived by extending the classical…

In this paper, we establish a probabilistic representation as well as some integration by parts formulae for the marginal law at a given time maturity of some stochastic volatility model with unbounded drift. Relying on a perturbation…

We provide an algebraic unification of the spectral gap proofs of the convergence of the renormalised model for regularity structures. We show that the key recentering map used in the literature for adjusting the recentering of the model is…

In this paper we provide a valuation formula for different classes of actuarial and financial contracts which depend on a general loss process, by using the Malliavin calculus. In analogy with the celebrated Black-Scholes formula, we aim at…

In this paper, we use the Malliavin calculus techniques to obtain an anticipative version of the change of variable formula for L\'evy processes. Here the coefficients are in the domain of the anihilation (gradient) operator in the "future…

This paper presents a novel generic asymptotic expansion formula of expectations of multidimensional Wiener functionals through a Malliavin calculus technique. The uniform estimate of the asymptotic expansion is shown under a weaker…

We give a new characterization for the convergence in distribution to a standard normal law of a sequence of multiple stochastic integrals of a fixed order with variance one, in terms of the Malliavin derivatives of the sequence. We extend…

We propose a novel class of convex risk measures, based on the concept of the Fr\'echet mean, designed in order to handle uncertainty which arises from multiple information sources regarding the risk factors of interest. The proposed risk…