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Seminar

Department of Systems Engineering and Engineering Management,

The Chinese University of Hong Kong

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Title: Malliavin Greeks without Malliavin Calculus

Speaker: Nan Chen, Assistant Professor

Department of Systems Engineering and Engineering Management

CUHK

Date : October 18th, 2006 (Wednesday)

Time : 4:30p.m. - 5:30p.m.

Venue : Room 513

MMW Engineering Building (Engineering Building Complex Phase 2)

CUHK

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Abstract:

In this paper, we derive and analyze Monte Carlo estimators

of Greeks (i.e., price sensitivities). There have traditionally been

two categories of methods for estimating sensitivities: methods that

differentiate paths and methods that differentiate measures. A more

recent line of work derives estimators through Malliavin calculus.

Most implementations of continuous-time models use discrete-time

approximations, raising the question of whether one should discretrize

first and then differentiate, or differentiate first and then

discretize. We show that in several important cases the first route

produces the same estimators found through Malliavin calculus, but

using only traditional elementary techniques. Time-averaging of

multiple unbiased estimators emerges as a key feature of this

approach. This is based on joint work with Paul Glasserman.

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Biography:

Nan Chen received his B.S. and M.S. in Probability and

Statistics from Peking University, Beijing, China in 1998 and 2001 and

his Ph.D. in Operations Research from Columbia University in 2006.

Currently, he is an Assistant Professor in the Department of Systems

Engineering and Engineering Management, the Chinese University of Hong

Kong.

************************ ALL ARE WELCOME **********************

Enquiries: Mr. Peixiang Zhao or Prof. Jeffrey Xu Yu,

Department of Systems Engineering and Engineering Management

CUHK

Website: http://www.se.cuhk.edu.hk/~seg5810

Email: seg5810@se.cuhk.edu.hk

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