Search Results - Bayazit, Dervis

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  1. 1
    An approximate Malliavin weight for Variance Gamma process: Sensitivity analysis of European style options

    An approximate Malliavin weight for Variance Gamma process: Sensitivity analysis of European style options by Bayazıt, Derviş, Nolder, Craig A.

    Published in Nonlinear analysis
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  2. 2
    Simplex optimization for particle filter joint parameter estimation of electricity prices with jump diffusion

    Simplex optimization for particle filter joint parameter estimation of electricity prices with jump diffusion by Bayazit, Dervis, Uzunoglu, Bahri

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  3. 3
    Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes

    Sensitivities of options via Malliavin calculus: applications to markets of exponential Variance Gamma and Normal Inverse Gaussian processes by Bayazit, Dervis, Nolder, Craig A.

    Published in Quantitative finance
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