Next Article in Journal
Quantum Coherent States and Path Integral Method to Stochastically Determine the Anisotropic Volume Expansion in Lithiated Silicon Nanowires
Previous Article in Journal
A Novel Method of Offset Approximation along the Normal Direction with High Precision
Article Menu

Export Article

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

Sensitivity Analysis Based on Markovian Integration by Parts Formula

1
School of Finance and Economics, Jiangsu University, Zhenjiang 212013, China
2
School of Physical and Mathematical Sciences, Nanyang Technological University, 21 Nanyang Link, Singapore 637371, Singapore
3
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
View Full-Text   |   Download PDF [466 KB, uploaded 13 October 2017]   |  

Abstract

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
Figures

Figure 1

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).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

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.

Show more citation formats Show less citations formats

Note that from the first issue of 2016, MDPI journals use article numbers instead of page numbers. See further details here.

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
Math. Comput. Appl. EISSN 2297-8747 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top