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Functional itô calculus, path-dependence and the computation of greeks
(EMAp - Escola de Matemática Aplicada, 2015)
Dupire’s functional Itˆo calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we ...
Propositional calculus and binary calculusPropositional calculus and binary calculus (ESP)
(Universidad Nacional, Costa Rica, 1990)
Propositional calculus and binary calculusPropositional calculus and binary calculus (ESP)
(Universidad Nacional, Costa Rica, 1990)
Are you ready for calculus III?R U ready for calculus IIl?
(Mathematics Archives (MathArchives), 2016)
Are you ready for calculus III?R U ready for calculus IIl?
(Mathematics Archives (MathArchives), 2011)
k-Fractional trigonometric functions
(Hikari Ltd, 2014-08)
Based on the k-Mittag-Lefler function and the k-α-Exponential Function we introduce families of functions that allows us define new fractional trigonometric functions that contain the classical trigonometric functions ...
k-Fractional trigonometric functions
(Hikari Ltd, 2014)
Based on the k-Mittag-Lefler function and the k- -Exponential Function
we introduce families of functions that allows us define new fractional
trigonometric functions that contain the classical trigonometric
functions ...
Functional Itô calculus, path-dependence and the computation of Greeks
(Elsevier Science Bv, 2017-12)
Dupire's functional Ito calculus provides an alternative approach to the classical Malliavin calculus for the computation of sensitivities, also called Greeks, of path-dependent derivatives prices. In this paper, we introduce ...
Subdifferential calculus rules for possibly nonconvex integral functions
(SIAM, 2020)
We are concerned with the subdifferentials of integral functionals and functions given in the form E-f(x)
= f(T) f (t, x)d mu, for a possibly nonconvex normal integrand f defined on a separable Banach with
separable dual ...
Weaker conditions for subdifferential calculus of convex functions
(Elsevier, 2016)
In this paper we establish new rules for the calculus of the subdifferential mapping of the sum of two convex functions. Our results are established under conditions which are at an intermediate level of generality among ...