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Item Details
Title:
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MALLIAVIN CALCULUS FOR LEVY PROCESSES WITH APPLICATIONS TO FINANCE
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By: |
Giulia Di Nunno, Bernt Oksendal, Frank Proske |
Format: |
Paperback |
List price:
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£64.99 |
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further information.
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ISBN 10: |
354078571X |
ISBN 13: |
9783540785712 |
Publisher: |
SPRINGER-VERLAG BERLIN AND HEIDELBERG GMBH & CO. KG |
Pub. date: |
17 September, 2008 |
Edition: |
1st Corrected ed. 2009, Corr. 2nd printing 2009 |
Series: |
Universitext |
Pages: |
418 |
Description: |
This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents the development of the theory and its use in new fields of application. |
Synopsis: |
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. |
Illustrations: |
XIV, 418 p. |
Publication: |
Germany |
Imprint: |
Springer-Verlag Berlin and Heidelberg GmbH & Co. K |
Returns: |
Returnable |
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Ramadan and Eid al-Fitr
A celebratory, inclusive and educational exploration of Ramadan and Eid al-Fitr for both children that celebrate and children who want to understand and appreciate their peers who do.
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