Special greeks of a variance-gamma driven vasicek model

Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario. Sensitivity analysis in such market scenarios having characteristics of Lévy processes is made easier by adopting the integration by part techniques of Malliavin calculus. Thus, we apply the tools of the Malliavin calculus to obtain the special types of the greek vega required in sensitivity analysis in an interest rate market driven by the variance gamma process.