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Conditional Expectation expression in mean-field SDEs and its applications
Samaneh Sojudi, Mahdieh Tahmasebi
This study developed a novel formulation of conditional expectations within the framework of a jump-diffusion mean-field stochastic differential equation. We introduce an integrate…
Hedging of exotic options in Hawkes jump-diffusion models by Malliavin calculus
Ayub Ahmadi, Mahdieh Tahmasebi
In financial mathematics, the calculation of the Greeks, especially the delta, is emphasized due to its role in risk management. In this article, we employ Malliavin calculus to de…
Clark-Ocone formula for the maximum of processes with the stochastic intensity and its application
Mahdieh Tahmasebi
Pricing of the lookback options using the Clark-Ocone formula for the underlying assets driven by stochastic Lévy processes requires computing the Malliavin derivatives of their ma…
Sensitivity Analysis for Mean-Field SDEs With Jump By Malliavin Calculus: Chaos Expansion Approach
Samaneh Sojudi, Mahdieh Tahmasebi
In this paper, we describe an explicit extension formula in sensitivity analysis regarding the Malliavin weight for jump-diffusion mean-field stochastic differential equations whos…