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Retraction published on 30 August 2018, see Math. Comput. Appl. 2018, 23(3), 44.

Open AccessArticle

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.
Math. Comput. Appl. 2017, 22(4), 40;
Received: 7 July 2017 / Revised: 5 October 2017 / Accepted: 6 October 2017 / Published: 12 October 2017
PDF [492 KB, uploaded 31 August 2018]


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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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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