On the price sensitivities during financial crisis

Research output: Chapter in Book/Report/Conference proceedingConference contribution

3 Citations (Scopus)


The computation of the price sensitivities is of paramount importance in financial risk management. Several new approaches have been recently suggested in the literature for this purpose. However, there is lack of studies that investigate this issue during financial crises. During crises volatility is naturally higher than normal situations. This is going to affect the underlying option pricing. It is especially during the crisis that the investors require to have access to precise calculations in order to deal with the increased level of risk. This issue is especially relevant due to the globalization. Thus, to compute the price sensitivities in such a scenario is crucial. The issue that this paper addresses is the computation of sensitivities during the crisis period based on the Malliavin calculus.

Original languageEnglish
Title of host publicationProceedings of the World Congress on Engineering 2011, WCE 2011
Number of pages4
Publication statusPublished - Nov 14 2011
EventWorld Congress on Engineering 2011, WCE 2011 - London, United Kingdom
Duration: Jul 6 2011Jul 8 2011

Publication series

NameProceedings of the World Congress on Engineering 2011, WCE 2011


OtherWorld Congress on Engineering 2011, WCE 2011
Country/TerritoryUnited Kingdom


  • Malliavin calculus, crisis
  • Price sensitivities, options

ASJC Scopus subject areas

  • General Computer Science
  • General Engineering
  • Applied Mathematics


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