統計数学セミナー
Seminar on Probability and Statistics |
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Seminar on Probability and Statistics Tuesday May 17 2005 Tokyo 128 2:40-3:50 pm
Malliavin calculus and sensitivity analysis in jump models
Nicolas PRIVAULT Universite de La Rochelle, France Abstract In this talk we will present some Malliavin calculus methods for the estimation of densities of random
variables and for the computation of option price sensitivities in markets with jumps. These methods will
be compared to the results obtained via classical finite difference and kernel estimations
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