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math.PR2013
Sensitivity analysis in a market with memory
David R. Banos, Giulia Di Nunno, Frank Proske
A general market model with memory is considered in terms of stochastic functional differential equations. We aim at representation formulae for the sensitivity analysis of the dep…
math.PR2013★ 3 cited
On the Construction and Malliavin Differentiability of Levy Noise Driven SDEs with Singular Coefficients
Sven Haadem, Frank Proske
In this paper we introduce a new technique to construct unique strong solutions of SDEs with singular coefficients driven by certain Levy processes. Our method which is based on Ma…