Malliavin Calculus for Lévy Processes with Applications to Finance

Malliavin Calculus for Lévy Processes with Applications to Finance

AngličtinaMäkká väzbaTlač na objednávku
Di Nunno, Giulia
Springer, Berlin
EAN: 9783540785712
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Podrobné informácie

There are already several excellent books on Malliavin calculus. However, most of them deal only with the theory of Malliavin calculus for Brownian motion, with [35] as an honorable exception. Moreover, most of them discuss only the applicationto regularityresults for solutions ofSDEs, as this wasthe original motivation when Paul Malliavin introduced the in?nite-dimensional calculus in 1978 in [158]. In the recent years, Malliavin calculus has found many applications in stochastic control and within ?nance. At the same time, L' evy processes have become important in ?nancial modeling. In view of this, we have seen the need for a book that deals with Malliavin calculus for L' evy processesin general,not just Brownianmotion, and that presentssome of the most important and recent applications to ?nance. It is the purpose of this book to try to ?ll this need. In this monograph we present a general Malliavin calculus for L' evy processes, covering both the Brownianmotioncaseand the purejump martingalecasevia Poissonrandom measures,and also some combination of the two.
EAN 9783540785712
ISBN 354078571X
Typ produktu Mäkká väzba
Vydavateľ Springer, Berlin
Dátum vydania 15. septembra 2009
Stránky 418
Jazyk English
Rozmery 235 x 155
Krajina Germany
Čitatelia Postgraduate, Research & Scholarly
Autori Di Nunno, Giulia; Proske Frank; Øksendal, Bernt
Ilustrácie XIV, 418 p.
Edícia 1st Corrected ed. 2009, Corr. 2nd printing 2009
Séria Universitext