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1. Stochastic functional linear models and Malliavin calculus. (2022). Fan, Ruzong ; Fang, Hong-Bin.
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2. Local volatility under rough volatility. (2022). Pigato, Paolo ; de Marco, Stefano ; Friz, Peter K ; Bourgey, Florian.
   In: Papers.
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3. Avoiding zero probability events when computing Value at Risk contributions. (2022). Targino, Rodrigo ; Saporito, Yuri F.
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4. On conditional cuts for stochastic dual dynamic programming. (2020). Warin, X ; Ackooij, W.
   In: EURO Journal on Computational Optimization.
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5. On the Variance of Single-Run Unbiased Stochastic Derivative Estimators. (2020). Cui, Zhenyu ; Peng, Yijie ; Liu, Yanchu ; Fu, Michael C ; Zhu, Lingjiong.
   In: INFORMS Journal on Computing.
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6. Nonparametric Malliavin–Monte Carlo Computation of Hedging Greeks. (2020). Mancino, Maria Elvira ; Sanfelici, Simona.
   In: Risks.
   RePEc:gam:jrisks:v:8:y:2020:i:4:p:120-:d:444533.

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7. Pricing Path-Dependent Derivatives under Multiscale Stochastic Volatility Models: a Malliavin Representation. (2020). Saporito, Yuri F.
   In: Papers.
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8. Computation of Hedging Coefficients for Mortgage Default and Prepayment Options: Malliavin Calculus Approach. (2019). Selcuk-Kestel, Sevtap A ; Yilmaz, Bilgi.
   In: The Journal of Real Estate Finance and Economics.
   RePEc:kap:jrefec:v:59:y:2019:i:4:d:10.1007_s11146-018-9688-6.

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9. Unbiased Sensitivity Estimation of One-Dimensional Diffusion Processes. (2019). Kang, Wanmo ; Lee, Jong Mun.
   In: Mathematics of Operations Research.
   RePEc:inm:ormoor:v:44:y:2019:i:1:p:334-353.

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10. ALGORITHMIC DIFFERENTIATION FOR DISCONTINUOUS PAYOFFS. (2018). Daluiso, Roberto ; Facchinetti, Giorgio.
    In: International Journal of Theoretical and Applied Finance (IJTAF).
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11. Computation of the Delta of European options under stochastic volatility models. (2018). Yolcu-Okur, Yeliz ; Sayer, Tilman ; Yilmaz, Bilgi ; Inkaya, Alper B.
    In: Computational Management Science.
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12. On the sensitivity analysis of energy quanto options. (2018). Kufakunesu, Rodwell ; Mhlanga, Farai.
    In: Papers.
    RePEc:arx:papers:1810.06335.

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13. Computation of option greeks under hybrid stochastic volatility models via Malliavin calculus. (2018). Yilmaz, Bilgi.
    In: Papers.
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14. Functional Itô calculus, path-dependence and the computation of Greeks. (2017). Saporito, Yuri F ; Jazaerli, Samy.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:127:y:2017:i:12:p:3997-4028.

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15. Regression-based Monte Carlo methods for stochastic control models: variable annuities with lifelong guarantees. (2016). Kwok, Yue Kuen ; Huang, Yao Tung .
    In: Quantitative Finance.
    RePEc:taf:quantf:v:16:y:2016:i:6:p:905-928.

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16. Importance Sampling for Option Greeks with Discontinuous Payoffs. (2016). Tong, Shaolong ; Liu, Guangwu.
    In: INFORMS Journal on Computing.
    RePEc:inm:orijoc:v:28:y:2016:i:2:p:223-235.

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17. Weak approximation of martingale representations. (2016). Lu, YI ; Cont, Rama.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:126:y:2016:i:3:p:857-882.

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18. Vibrato and automatic differentiation for high order derivatives and sensitivities of financial options. (2016). Pironneau, Olivier ; Sall, Guillaume ; Pages, Gilles.
    In: Papers.
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19. Vibrato and Automatic Differentiation for High Order Derivatives and Sensitivities of Financial Options. (2015). Pironneau, Olivier ; Sall, Guillaume ; Pages, Gilles.
    In: Working Papers.
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20. Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process. (2014). Rong, Ning ; Fard, Farzad .
    In: Annals of Finance.
    RePEc:kap:annfin:v:10:y:2014:i:2:p:315-332.

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21. Toward a coherent Monte Carlo simulation of CVA. (2014). Mikou, Mohammed ; Mikou Mohammed A., ; Aych, Bouselmi ; Abbas-Turki Lokman A., .
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:20:y:2014:i:3:p:195-216:n:3.

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22. Multi-asset American Options and Parallel Quantization. (2013). Portes, Jacques ; Pages, Gilles ; Bronstein, Anne Laure.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:15:y:2013:i:3:d:10.1007_s11009-011-9265-4.

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23. Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach. (2013). Siu, Tak Kuen ; Fard, Farzad Alavi.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:53:y:2013:i:3:p:712-721.

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24. A Remark on Approximation of the Solutions to Partial Differential Equations in Finance. (2012). Yamada, Toshihiro ; Takahashi, Akihiko.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2012cf842.

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25. A Remark on Approximation of the Solutions to Partial Differential Equations in Finance. (2012). Yamada, Toshihiro ; Takahashi, Akihiko.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf273.

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26. Efficient price sensitivity estimation of financial derivatives by weak derivatives. (2011). Carlos, Sanz-Chacon ; Kloeden Peter E., .
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:17:y:2011:i:1:p:47-75:n:1.

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27. An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options. (2009). Yamada, Toshihiro ; Takahashi, Akihiko.
    In: CIRJE F-Series.
    RePEc:tky:fseres:2009cf696.

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28. Numerical methods for Lévy processes. (2009). Reich, N. ; Hilber, N. ; Winter, C. ; Schwab, C..
    In: Finance and Stochastics.
    RePEc:spr:finsto:v:13:y:2009:i:4:p:471-500.

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29. An Asymptotic Expansion with Malliavin Weights: An Application to Pricing Discrete Barrier Options. (2009). Yamada, Toshihiro ; Takahashi, Akihiko.
    In: CARF F-Series.
    RePEc:cfi:fseres:cf193.

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30. What you should know about simulation and derivatives. (2008). Fu, Michael C.
    In: Naval Research Logistics (NRL).
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31. Computation of optimal portfolios using simulation-based dimension reduction. (2008). Boyle, Phelim ; Tan, Ken Seng ; Imai, Junichi.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:43:y:2008:i:3:p:327-338.

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32. Prices and sensitivities of Asian options: A survey. (2008). Boyle, Phelim ; Potapchik, Alexander.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:189-211.

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33. Application of kernel-based stochastic gradient algorithms to option pricing. (2008). Cyrille, Strugarek ; Jean-Sebastien, Roy ; Pierre, Girardeau ; Kengy, Barty .
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:14:y:2008:i:2:p:99-127:n:1.

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34. Malliavin Greeks without Malliavin calculus. (2007). Glasserman, Paul ; Chen, Nan.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:117:y:2007:i:11:p:1689-1723.

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35. Pricing of path-dependent American options by Monte Carlo simulation. (2007). Kijima, Masaaki ; Fujiwara, Hajime.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:11:p:3478-3502.

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36. Monte Carlo methods for derivatives of options with discontinuous payoffs. (2007). Rindisbacher, Marcel ; Detemple, Jerome.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:51:y:2007:i:7:p:3393-3417.

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37. Monte Carlo Estimation of a Joint Density Using Malliavin Calculus, and Application to American Options. (2006). .
    In: Computational Economics.
    RePEc:kap:compec:v:27:y:2006:i:4:p:497-531.

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38. Asymptotic Properties of Monte Carlo Estimators of Derivatives. (2005). Rindisbacher, Marcel ; Garcia, René ; Detemple, Jerome.
    In: Management Science.
    RePEc:inm:ormnsc:v:51:y:2005:i:11:p:1657-1675.

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39. Representations and regularities for solutions to BSDEs with reflections. (2005). Ma, Jin ; Zhang, Jianfeng.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:115:y:2005:i:4:p:539-569.

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40. Hedging using simulation: a least squares approach. (2005). Tebaldi, Claudio.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:29:y:2005:i:8:p:1287-1312.

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41. Pricing and hedging American options by Monte Carlo methods using a Malliavin calculus approach. (2005). Antonino, Zanette ; Lucia, Caramellino ; Vlad, Bally .
    In: Monte Carlo Methods and Applications.
    RePEc:bpj:mcmeap:v:11:y:2005:i:2:p:97-133:n:1.

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42. Discrete-time approximation and Monte-Carlo simulation of backward stochastic differential equations. (2004). Touzi, Nizar ; Bouchard, Bruno.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:111:y:2004:i:2:p:175-206.

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43. A Malliavin calculus approach to sensitivity analysis in insurance. (2004). wei, xiao ; Privault, Nicolas.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:35:y:2004:i:3:p:679-690.

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44. Malliavin calculus in finance. (2003). Montero, Miquel ; Miquel, Montero ; Kohatsu, Arturo.
    In: Economics Working Papers.
    RePEc:upf:upfgen:672.

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45. Malliavin Calculus applied to finance. (2003). Montero, Miquel ; Kohatsu-Higa, Arturo.
    In: Physica A: Statistical Mechanics and its Applications.
    RePEc:eee:phsmap:v:320:y:2003:i:c:p:548-570.

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46. Preface. (2003). Lamberton, D. ; Lapeyre, B. ; Sulem, A..
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:13:y:2003:i:1:p:iii-v.

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47. Efficient Computation of Hedging Portfolios for Options with Discontinuous Payoffs. (2003). Ma, Jin ; Zhang, Jianfeng ; Jaksa Cvitanić, .
    In: Mathematical Finance.
    RePEc:bla:mathfi:v:13:y:2003:i:1:p:135-151.

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48. Smart Monte Carlo: Various tricks using Malliavin calculus. (2002). Benhamou, Eric.
    In: Finance.
    RePEc:wpa:wuwpfi:0212004.

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49. Hedging using simulation: a least squares approach. (2002). Tebaldi, Claudio.
    In: Computing in Economics and Finance 2002.
    RePEc:sce:scecf2:279.

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50. An application of Malliavin Calculus to Finance. (2001). Montero, Miquel ; Kohatsu-Higa, Arturo.
    In: Papers.
    RePEc:arx:papers:cond-mat/0111563.

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