Functional inequalities for marked point processes by Flint, Ian, Privault, Nicolas, Torrisi, Giovanni Luca

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A New Simplified Weak Second-Order Scheme for Solving Stochastic Differential Equations with Jumps by Yang Li, Yaolei Wang, Taitao Feng, Yifei Xin

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New Simplified High-Order Schemes for Solving SDEs with Markovian Switching Driven by Pure Jumps by Yang Li, Yingmei Xu, Qianhai Xu, Yu Zhang

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A High Order Accurate and Effective Scheme for Solving Markovian Switching Stochastic Models by Yang Li, Taitao Feng, Yaolei Wang, Yifei Xin

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Pricing and Hedging Bond Power Exchange Options in a Stochastic String Term-Structure Model by Lloyd P. Blenman, Alberto Bueno-Guerrero, Steven P. Clark

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Power law in Sandwiched Volterra Volatility model by Giulia Di Nunno, Anton Yurchenko-Tytarenko

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De-Biased Graphical Lasso for High-Frequency Data by Yuta Koike

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Solving a class of high-order fractional stochastic heat equations with fractional noise by Xiaodong Zhang, Junfeng Liu

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The Weak Convergence Rate of Two Semi-Exact Discretization Schemes for the Heston Model by Annalena Mickel, Andreas Neuenkirch

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Fourth Cumulant Bound of Multivariate Normal Approximation on General Functionals of Gaussian Fields by Yoon-Tae Kim, Hyun-Suk Park

Subjects: “…Malliavin calculus…”
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Stein approximation for Ito and Skorohod integrals by Edgeworth type expansions by Privault, Nicolas

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An Edgeworth Expansion for the Ratio of Two Functionals of Gaussian Fields and Optimal Berry–Esseen Bounds by Yoon-Tae Kim, Hyun-Suk Park

Subjects: “…Malliavin calculus…”
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A modified Φ-Sobolev inequality for canonical Lévy processes and its applications by Noriyoshi Sakuma, Ryoichi Suzuki

Subjects: “…Malliavin calculus…”
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Probability Density of Lognormal Fractional SABR Model by Jiro Akahori, Xiaoming Song, Tai-Ho Wang

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Malliavin Regularity of Non-Markovian Quadratic BSDEs and Their Numerical Schemes by Salima Doubbakh, Nabil Khelfallah, Mhamed Eddahbi, Anwar Almualim

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Improved Bound of Four Moment Theorem and Its Application to Orthogonal Polynomials Associated with Laws by Yoon-Tae Kim, Hyun-Suk Park

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An Intuitive Introduction to Fractional and Rough Volatilities by Elisa Alòs, Jorge A. León

Subjects: “…derivative operator in the Malliavin calculus sense…”
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Special greeks of a variance-gamma driven vasicek model by Adaobi M. Udoye, Lukman S. Akinola

“…Sensitivity analysis in such market scenarios having characteristics of Lévy processes is made easier by adopting the integration by part techniques of Malliavin calculus. Thus, we apply the tools of the Malliavin calculus to obtain the special types of the greek vega required in sensitivity analysis in an interest rate market driven by the variance gamma process.…”
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Optimal stopping and sensitivity analysis in regime switching models by Liu, Yue

“…On the other hand, sensitivity analysis on regime -switching models is developed by applying Malliavin calculus, besides, by establishing an integration by parts formula, Malliavin calculus regarding Markov chains can also be applied to compute the Greeks.…”
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A Varadhan Estimate for Big Order Differential Generators by Rémi Léandre

“…We give a logarithmic estimate of an elliptic semi-group generated by a big-order generator by using the Malliavin Calculus of Bismut type and large deviation estimates.…”
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