Mathematical Finance Seminar
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Fri, 28/01/2005 14:15 |
Christian Ewald |
Mathematical Finance Seminar  |
DH 3rd floor SR |
| We discuss the application of gradient methods to calibrate mean reverting stochastic volatility models. For this we use formulas based on Girsanov transformations as well as a modification of the Bismut-Elworthy formula to compute the derivatives of certain option prices with respect to the parameters of the model by applying Monte Carlo methods. The article presents an extension of the ideas to apply Malliavin calculus methods in the computation of Greek's. | |||
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Fri, 11/02/2005 14:15 |
Joanne Kennedy (Warwick) |
Mathematical Finance Seminar |
DH 3rd floor SR |
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Fri, 25/02/2005 14:15 |
Vladimir Piterbarg (Bank of America) |
Mathematical Finance Seminar |
DH 3rd floor SR |
| http://papers.ssrn.com/sol3/papers.cfm?abstract_id=472061 | |||
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Fri, 11/03/2005 14:15 |
Michael Monoyios (Brunel) |
Mathematical Finance Seminar |
DH 3rd floor SR |
