Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Sensitivity Analysis with respect to a Stock Price Model with Rough
  Volatility via a Bismut-Elworthy-Li Formula for Singular SDEs   In this paper, we show the existence of unique Malliavin differentiable
solutions to SDE`s driven by a fractional Brownian motion with Hurst parameter
H<1/2 and singular, unbounded drift vector fields, for which we also prove a
stability result. Further, using the latter results, we propose a stock price
model with rough and correlated volatility, which also allows for capturing
regime switching effects. Finally, we also derive a Bismut-Elworthy-Li formula
with respect to our stock price model for certain classes of vector fields.

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The categories of this paper are: cond-mat
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The categories of this paper are: physics
8
The categories of this paper are: hep-ex
33
The categories of this paper are: plasm-ph
30
The categories of this paper are: q-alg
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The categories of this paper are: comp-gas
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The categories of this paper are: nucl-th
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The categories of this paper are: adap-org
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The categories of this paper are: math-ph
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The categories of this paper are: dg-ga
31
The categories of this paper are: ao-sci
32
The categories of this paper are: atom-ph
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The categories of this paper are: hep-lat
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The categories of this paper are: hep-th
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The categories of this paper are: eess
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The categories of this paper are: nlin