Research and Reports on Mathematics

All submissions of the EM system will be redirected to Online Manuscript Submission System. Authors are requested to submit articles directly to Online Manuscript Submission System of respective journal.

Sensitivity Analysis on Regime-Switching Models by Wiener-Malliavin Calculus

In this paper we present the sensitivity analysis on regime switching models applying the techniques of Malliavin calculus. As is well known, risk management in portfolio pricing and hedging is often achieved by estimating the Greeks, which are price sensitivities relative to variations in the model parameters. By developing this method for sensitivity analysis, we have multiple versions of Greeks expression, optimization by minimizing the variance of weight is available among those alternatives. Although the classical Malliavin calculus approach requires the differentiability of the payoff function, we extend the results for models with non-differentiable payoff function.

Special Features

Full Text


Track Your Manuscript

Media Partners