Team Mathfi

Overall Objectives
Scientific Foundations
Application Domains
New Results
Contracts and Grants with Industry

Section: New Results

Keywords : Malliavin calculus, jump diffusions, greecks.

Computation of sensitivities (Greeks) and conditional expectations using Malliavin calculus

Participants : V. Bally, M.P. Bavouzet, L. Caramellino, A. Kohatsu-Higa, M. Messaoud, N. Privault, A. Zanette.

A. Kohatsu-Higa continues to study simulation methods for greeks in high dimension either with the kernel density estimation method or the integration by parts method of Malliavin Calculus.

N. Privault has worked on Statistical estimation using the Malliavin calculus and sensitivity analysis [32] . He also worked on concentration inequalities with application to bounds on option prices [22] .

V. Bally, M. P. Bavouzet and M. Messaoud have obtained results for Malliavin Calculus for Poisson Point Processes and applications to finance. There is one paper which is accepted for publication in Annals of Applyed Probabilities and there is one more paper in progress.


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