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Yue Liu Author
Subjects of specialization
Affiliation
Mathematics, nanotechnology
,Professor and researcher University of Wisconsin-Milwaukee
Biography
He is affiliated to ,Professor University of Wisconsin-Milwaukee. He is a recipient of many awards and grants for his valuable contributions and discoveries in major area of subject research. His international experience includes various programs, contributions and participation in different countries for diverse fields of study. His research interests reflect in his wide range of publications in various national and international journals.
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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