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Integration by parts formula for locally smooth laws and applications to sens...
We consider random variables of the form $F=f(V_1,...,V_n)$ where $f$ is a smooth function and $V_i,i\in\mathbbN$ are random variables with absolutely continuous law... -
Computation of Greeks using Malliavin's calculus in jump type market models
We use the Malliavin calculus for Poisson processes in order to compute sensitivities for European options with underlying following a jump type diffusion. The main... -
Stochastic Local Intensity Loss Models with Interacting Particle Systems
International audience -
Analysis of Fully Distributed Splitting and Naming Probabilistic Procedures a...
International audience
