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 ...

In this paper we consider the functional Itˆo calculus framework to find a path- dependent version of the Hamilton-Jacobi-Bellman equation for stochastic control problems with path-dependence in the controls. We also prove ...

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 ...

TEMPO, PATH DEPENDENCE E INSTABILIDADE: AS CONVERGÊNCIAS ENTRE KEYNES E SRAFFA A dissertação analisa alguns tópicos convergentes nas teorias de Keynes e de Sraffa. Aborda a questão do tempo na teoria econômica e da path ...

O artigo busca fazer uma relação entre a ocorrência de path-dependence, a natureza expectacional do investimento e as flutuações econômicas, a partir de um referencial pós-keynesiano de análise. Em um ambiente não-ergódico, ...

In this paper we study the Time-Dependent Elementary Shortest Path Problem with Resource Constraints (TDESPPRC). We consider two integer programming formulations which exploit the characteristics of the time-dependent ...