We provide new representation formulas for Malliavin derivatives of diffusions, based on a transformation of the underlying processes. Both the univariate and the multivariate cases are considered. First order as well as higher order Malliavin derivatives are characterized. Numerical...

We study the convergence of Monte Carlo estimators of derivatives when the transition density of the underlying state variables is unknown. Three types of estimators are compared. These are respectively based on Malliavin derivatives, on the covariation with the driving Wiener process, and on...

This paper studies the limit distributions of Monte Carlo estimators of diffusion processes. Two types of estimators are examined. The first one is based on the Euler scheme applied to the original processes; the second applies the Euler scheme to a variance-stabilizing transformation of the...

A dynamic asset allocation problem in the presence of liabilities is considered. The fund manager has von Neumann-Morgenstern preferences with terminal utility function defined over the excess of liquid wealth over a minimum liability coverage tolerated and intermediate utility function defined...

This article reviews recent scientific literature on consumer financial decisions over the life cycle, outlining its implications for the design of pension plans. It begins with a review of advances in the theory of rational financial planning and wealth management. It then summarizes the recent...