Pub. Date:
Springer Berlin Heidelberg
Malliavin Calculus for Lévy Processes with Applications to Finance / Edition 1

Malliavin Calculus for Lévy Processes with Applications to Finance / Edition 1


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Product Details

ISBN-13: 9783540785712
Publisher: Springer Berlin Heidelberg
Publication date: 10/15/2009
Series: Universitext
Edition description: 1st Corrected ed. 2009, Corr. 2nd printing 2009
Pages: 418
Sales rank: 1,260,866
Product dimensions: 6.10(w) x 9.30(h) x 1.00(d)

About the Author

Giulia Di Nunno, Bernt Øksendal and Frank Proske are professors at the Department of Mathematics, University of Oslo, Norway. The three scholars are active in the fields of stochastic analysis, mathematical and quantitative finance.

Table of Contents

The Continuous Case: Brownian Motion.- The Wiener—Itô Chaos Expansion.- The Skorohod Integral.- Malliavin Derivative via Chaos Expansion.- Integral Representations and the Clark—Ocone formula.- White Noise, the Wick Product, and Stochastic Integration.- The Hida—Malliavin Derivative on the Space ? = S?(?).- The Donsker Delta Function and Applications.- The Forward Integral and Applications.- The Discontinuous Case: Pure Jump Lévy Processes.- A Short Introduction to Lévy Processes.- The Wiener—Itô Chaos Expansion.- Skorohod Integrals.- The Malliavin Derivative.- Lévy White Noise and Stochastic Distributions.- The Donsker Delta Function of a Lévy Process and Applications.- The Forward Integral.- Applications to Stochastic Control: Partial and Inside Information.- Regularity of Solutions of SDEs Driven by Lévy Processes.- Absolute Continuity of Probability Laws.

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