New Method of Sensitivity Computation Based on Markov Models with Its Application for Risk Management
Sensitivity analysis is at the core of risk management for financial engineering; to calculate the sensitivity with respect to parameters in models with probability expectation, the most traditional approach applies the finite difference method, whereafter integration by parts formula was developed...
Saved in:
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2022-01-01
|
| Series: | Journal of Mathematics |
| Online Access: | http://dx.doi.org/10.1155/2022/9510466 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|