Siopacha, Maria; Teichmann, Josef - In: Quantitative Finance 11 (2010) 4, pp. 517-528
We apply the results of Malliavin-Thalmaier-Watanabe for strong and weak Taylor expansions of solutions of perturbed stochastic differential equations (SDEs). In particular, we determine weight expressions for the Taylor coefficients of the expansion. The results are applied to LIBOR market...