Error calculus and path sensitivity in financial models

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dc.creatorBouleau, Nicolas
dc.date2006-10-16
dc.date.accessioned2026-07-07T12:07:20Z
dc.date.available2026-07-07T12:07:20Z
dc.descriptionIn the framework of risk management, for the study of the sensitivity of pricing and hedging in stochastic financial models to changes of parameters and to perturbations of the stock prices, we propose an error calculus which is an extension of the Malliavin calculus based on Dirichlet forms. Although useful also in physics, this error calculus is well adapted to stochastic analysis and seems to be the best practicable in finance. This tool is explained here intuitively and with some simple examples.
dc.identifierhttps://arxiv.org/abs/math/0610489
dc.identifierhttp://arxiv.org/abs/math/0610489
dc.identifierMathematical Finance 13 (2003) n1, 115-134
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208933
dc.subjectProbability
dc.subjectRisk Management
dc.titleError calculus and path sensitivity in financial models
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