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Yan Chen Author
Subjects of specialization
Affiliation
Mechanism Design, Behavioral , Experimental Economics, Information Economics
University of Michigan California Institute of Technology, Tsinghua University
Biography
Yan Chen is the Daniel Kahneman Collegiate Professor in the School of Information at the University of Michigan. She also holds an appointment as a research professor with the U-M Institute for Social Research. Her research interests are in behavioral and experimental economics, market and mechanism design, and public economics. She conducts both theoretical and experimental research.
Publications
Research Article Open Access
Sensitivity Analysis on Regime-Switching Models by Wiener-Malliavin Calculus
Author(s): Yue Liu, Yongsheng Hang, Hongxing Yao and Yan Chen
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.
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