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• W3121749280 abstract "In the framework of risk management, for the study of the sensitivity of pricing and hedging in stochastic financial models to changes of parameters and to perturbations of the stock prices, we propose an error calculus that is an extension of the Malliavin calculus based on Dirichlet forms. Although useful also in physics, this error calculus is well adapted to stochastic analysis and seems to be the best practicable in finance. This tool is explained here intuitively and with some simple examples." @default.
• W3121749280 created "2021-02-01" @default.
• W3121749280 creator A5087461579 @default.
• W3121749280 date "2003-01-01" @default.
• W3121749280 modified "2023-10-11" @default.
• W3121749280 title "Error Calculus and Path Sensitivity in Financial Models" @default.
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• W3121749280 doi "https://doi.org/10.1111/1467-9965.00009" @default.
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