Functional It Weights for Greeks by Yuri Saporito

Event Date: 

Monday, May 21, 2012 - 3:30pm to 5:00pm

Event Date Details: 

Refreshments served at 3:15 PM

Event Location: 

  • South Hall 5607F

Yuri Saporito (PSTAT-UCSB)

Title: Functional It Weights for Greeks

Abstract: Functional Ito calculus is an extension of the classical Ito calculus to functions of path and it was first presented by Dr. Bruno Dupire in his paper "Functional Ito Calculus". In this talk I will present an application of this theory to the computation of Greeks, which are sensitivities of derivatives prices with respect to model parameters. This gives us an alternative to the Malliavin calculus approach presented by Fournie et al in the classical paper "Applications of Malliavin calculus to Monte Carlo methods in finance".