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Math. Comput. Appl. 2017, 22(4), 40; doi:10.3390/mca22040040

Sensitivity Analysis Based on Markovian Integration by Parts Formula

School of Finance and Economics, Jiangsu University, Zhenjiang 212013, China
School of Physical and Mathematical Sciences, Nanyang Technological University, 21 Nanyang Link, Singapore 637371, Singapore
CNOOC Oil and Gas (Taizhou) Petrochemicals Co., Ltd., Taizhou 225321, China
Author to whom correspondence should be addressed.
Received: 7 July 2017 / Revised: 5 October 2017 / Accepted: 6 October 2017 / Published: 12 October 2017
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Sensitivity analysis is widely applied in financial risk management and engineering; it describes the variations brought by the changes of parameters. Since the integration by parts technique for Markov chains is well developed in recent years, in this paper we apply it for computation of sensitivity and show the closed-form expressions for two commonly-used time-continuous Markovian models. By comparison, we conclude that our approach outperforms the existing technique of computing sensitivity on Markovian models. View Full-Text
Keywords: sensitivity; Markov chains; integration by parts sensitivity; Markov chains; integration by parts

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This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. (CC BY 4.0).

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Hang, Y.; Liu, Y.; Xu, X.; Chen, Y.; Mo, S. Sensitivity Analysis Based on Markovian Integration by Parts Formula. Math. Comput. Appl. 2017, 22, 40.

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