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   In: INFORMS Journal on Computing.
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2. Learning Demand Curves in B2B Pricing: A New Framework and Case Study. (2020). Fu, Michael C ; Kurka, Megan ; Kopacek, Ludek ; Ryzhov, Ilya O ; Qu, Huashuai ; Bergerson, Eric.
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   RePEc:bla:popmgt:v:29:y:2020:i:5:p:1287-1306.

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3. Utility‐based shortfall risk: Efficient computations via Monte Carlo. (2018). Hu, Zhaolin ; Zhang, Dali.
   In: Naval Research Logistics (NRL).
   RePEc:wly:navres:v:65:y:2018:i:5:p:378-392.

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4. Subspace dynamic‐simplex linear interpolation search for mixed‐integer black‐box optimization problems. (2017). Wang, Honggang.
   In: Naval Research Logistics (NRL).
   RePEc:wly:navres:v:64:y:2017:i:4:p:305-322.

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5. Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo. (2014). Juneja, Sandeep ; Luo, Jun ; Hong, Jeff L.
   In: INFORMS Journal on Computing.
   RePEc:inm:orijoc:v:26:y:2014:i:4:p:848-865.

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6. Regression Models Augmented with Direct Stochastic Gradient Estimators. (2014). Fu, Michael C ; Qu, Huashuai.
   In: INFORMS Journal on Computing.
   RePEc:inm:orijoc:v:26:y:2014:i:3:p:484-499.

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7. A COMPARISON OF GRADIENT ESTIMATION TECHNIQUES FOR EUROPEAN CALL OPTIONS. (2012). Guo, Zheng-Feng ; Cao, Lingyan.
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1. Convergence rates of large-time sensitivities with the Hansen--Scheinkman decomposition. (2021). Park, Hyungbin.
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2. 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.
   RePEc:inm:orijoc:v:32:y:2020:i:2:p:390-407.

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3. Optimal Approximation of Skorohod Integrals. (2018). Parczewski, Peter ; Neuenkirch, Andreas.
   In: Journal of Theoretical Probability.
   RePEc:spr:jotpro:v:31:y:2018:i:1:d:10.1007_s10959-016-0716-2.

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4. Sensitivity analysis of long-term cash flows. (2018). Park, Hyungbin.
   In: Finance and Stochastics.
   RePEc:spr:finsto:v:22:y:2018:i:4:d:10.1007_s00780-018-0370-x.

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5. On the data-driven COS method. (2018). Oosterlee, Cornelis ; Bohte, Sander M ; Ortiz-Gracia, Luis ; Leitao, Alvaro.
   In: Applied Mathematics and Computation.
   RePEc:eee:apmaco:v:317:y:2018:i:c:p:68-84.

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6. Sensitivity Analysis of Long-Term Cash Flows. (2018). Park, Hyungbin.
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7. Sensitivity analysis for expected utility maximization in incomplete Brownian market models. (2017). Backhoff, Julio ; Silva, Francisco.
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8. 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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9. Weak approximation of martingale representations. (2016). Lu, YI ; Cont, Rama.
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10. Pricing and Hedging Long-Term Options. (2016). Park, Hyungbin.
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11. Approximate hedging for nonlinear transaction costs on the volume of traded assets. (2015). Lépinette, Emmanuel ; Elie, Romuald ; Lepinette, Emmanuel.
    In: Finance and Stochastics.
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12. On increasing risk, inequality and poverty measures: Peacocks, lyrebirds and exotic options. (2015). Ewald, Christian-Oliver ; Yor, Marc.
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13. Computation of Greeks using binomial trees in a jump-diffusion model. (2015). Muroi, Yoshifumi ; Suda, Shintaro.
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14. American Option Sensitivities Estimation via a Generalized Infinitesimal Perturbation Analysis Approach. (2014). Liu, Yanchu ; Chen, Nan.
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15. Estimating Sensitivities of Portfolio Credit Risk Using Monte Carlo. (2014). Juneja, Sandeep ; Luo, Jun ; Hong, Jeff L.
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16. Computing Greeks for L\evy Models: The Fourier Transform Approach. (2014). de Olivera, Federico ; Mordecki, Ernesto.
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17. Absolute continuity of the laws of a multi-dimensional stochastic differential equation with coefficients dependent on the maximum. (2013). Nakatsu, Tomonori.
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18. Advanced MCMC methods for sampling on diffusion pathspace. (2013). Kalogeropoulos, Konstantinos ; Pazos, Erik ; Beskos, Alexandros.
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19. Derivative formulas and gradient estimates for SDEs driven by α-stable processes. (2013). Zhang, Xicheng.
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20. Discrete Malliavin calculus and computations of greeks in the binomial tree. (2013). Muroi, Yoshifumi ; Suda, Shintaro.
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21. A Remark on Approximation of the Solutions to Partial Differential Equations in Finance. (2012). Yamada, Toshihiro ; Takahashi, Akihiko.
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22. Likelihood ratio gradient estimation for Meixner distribution and Lévy processes. (2012). Kawai, Reiichiro.
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23. Pricing Discrete Barrier Options Under Stochastic Volatility. (2012). Yamada, Toshihiro ; Shiraya, Kenichiro ; Takahashi, Akihiko.
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24. A New Stochastic Derivative Estimator for Discontinuous Payoff Functions with Application to Financial Derivatives. (2012). Wang, Yongqiang ; Marcus, Steven I ; Fu, Michael C.
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25. A Remark on Approximation of the Solutions to Partial Differential Equations in Finance. (2012). Yamada, Toshihiro ; Takahashi, Akihiko.
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26. On Approximation of the Solutions to Partial Differential Equations in Finance. (2012). Yamada, Toshihiro ; Takahashi, Akihiko.
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27. Global existence, regularity and a probabilistic scheme for a class of ultraparabolic Cauchy problems. (2012). Fries, Christian ; Kampen, Joerg .
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28. On Approximation of the Solutions to Partial Differential Equations in Finance. (2011). Yamada, Toshihiro ; Takahashi, Akihiko.
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29. Pricing and hedging of Asian options: quasi-explicit solutions via Malliavin calculus. (2011). Yang, Zhaojun ; Ewald, Christian-Oliver ; Menkens, Olaf.
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30. On the calculation of price sensitivities with jump-diffusion structure. (2011). Hatemi-J, Abdulnasser ; El-Khatib, Youssef ; Abdulnasser, Hatemi-J, .
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31. Kernel Estimation of the Greeks for Options with Discontinuous Payoffs. (2011). Hong, Jeff L ; Liu, Guangwu.
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32. Pricing Discrete Barrier Options under Stochastic Volatility. (2011). Yamada, Toshihiro ; Shiraya, Kenichiro ; Takahashi, Akihiko.
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33. An Asymptotic Expansion with Push-Down of Malliavin Weights. (2011). Yamada, Toshihiro ; Takahashi, Akihiko.
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34. Multidimensional Quasi-Monte Carlo Malliavin Greeks. (2011). Sabino, Piergiacomo ; Petroni, Nicola Cufaro.
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35. On Pricing Barrier Options with Discrete Monitoring. (2010). Yamada, Toshihiro ; Shiraya, Kenichiro ; Takahashi, Akihiko.
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36. Sensitivity analysis for averaged asset price dynamics with gamma processes. (2010). Kawai, Reiichiro ; Takeuchi, Atsushi.
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37. A benchmarking approach to optimal asset allocation for insurers and pension funds. (2010). Lim, Andrew E. B., ; Wong, Bernard.
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38. An Asymptotic Expansion with Push-Down of Malliavin Weights. (2009). Yamada, Toshihiro ; Takahashi, Akihiko.
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39. Smart expansion and fast calibration for jump diffusions. (2009). Benhamou, Eric ; Miri, M. ; Gobet, E..
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40. Numerical methods for Lévy processes. (2009). Reich, N. ; Hilber, N. ; Winter, C. ; Schwab, C..
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41. Double Kernel estimation of sensitivities. (2009). Elie, Romuald.
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42. Inference in a synchronization game with social interactions. (2009). de Paula, Aureo.
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43. Double Kernel estimation of sensitivities. (2009). Elie, Romuald.
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44. Analysis of Fourier transform valuation formulas and applications. (2009). Glau, Kathrin ; Eberlein, Ernst ; Papapantoleon, Antonis.
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45. What you should know about simulation and derivatives. (2008). Fu, Michael C.
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46. Discrete-time approximation for continuously and discretely reflected BSDEs. (2008). Chassagneux, Jean-Franois ; Bouchard, Bruno.
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47. Computation of optimal portfolios using simulation-based dimension reduction. (2008). Boyle, Phelim ; Tan, Ken Seng ; Imai, Junichi.
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48. Prices and sensitivities of Asian options: A survey. (2008). Boyle, Phelim ; Potapchik, Alexander.
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49. On the qualitative effect of volatility and duration on prices of Asian options. (2008). Ewald, Christian-Oliver ; Xiao, Yajun ; Carr, Peter.
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50. Monte Carlo Greeks for financial products via approximative transition densities. (2008). Schoenmakers, John ; Kampen, Joerg ; Kolodko, Anastasia.
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51. Malliavin Greeks without Malliavin calculus. (2007). Glasserman, Paul ; Chen, Nan.
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52. 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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53. 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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54. Proxy simulation schemes using likelihood ratio weighted Monte Carlo for generic robust Monte-Carlo sensitivities and high accuracy drift approximation (with applications to the LIBOR Market Model). (2005). Fries, Christian ; Kampen, Joerg .
    In: Finance.
    RePEc:wpa:wuwpfi:0504010.

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55. 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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56. 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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57. A New Computational Scheme for Computing Greeks by the Asymptotic Expansion Approach. (2004). .
    In: Asia-Pacific Financial Markets.
    RePEc:kap:apfinm:v:11:y:2004:i:4:p:393-430.

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58. 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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59. On Higher Derivatives of Expectations. (2003). de Rozario, Robert.
    In: Risk and Insurance.
    RePEc:wpa:wuwpri:0308001.

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60. 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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61. Optimal portfolio choice for unobservable and regime-switching mean returns. (2003). Honda, Toshiki.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:28:y:2003:i:1:p:45-78.

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62. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes. (2003). Rindisbacher, Marcel ; Garcia, René ; Detemple, Jerome.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-11.

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63. 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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64. 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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