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Malliavin Calculus for Levy Processes with Applications to Finance
Giulia Di Nunno
€ 101.68
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Description for Malliavin Calculus for Levy Processes with Applications to Finance
Paperback. 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. Num Pages: 413 pages, black & white illustrations, black & white line drawings, figures, bibliography. BIC Classification: KFF; PBT; PBWL. Category: (UP) Postgraduate, Research & Scholarly; (UU) Undergraduate. Dimension: 227 x 158 x 30. Weight in Grams: 620.
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 ... Read more
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 ... Read more
Product Details
Publisher
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Germany
Number of pages
413
Format
Paperback
Publication date
2010
Condition
New
Number of Pages
418
Place of Publication
Berlin, Germany
ISBN
9783540785712
SKU
V9783540785712
Shipping Time
Usually ships in 15 to 20 working days
Ref
99-15
About Giulia Di Nunno
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.
Reviews for Malliavin Calculus for Levy Processes with Applications to Finance
From the reviews: “The book under review gives a quite complete description of the Malliavin and white noise approaches to stochastic analysis on both the Wiener and Poisson spaces with applications to mathematical finance. … In addition each chapter is accompanied with exercises and their solutions. … The technical requirements of the book are kept at a reasonable level ... Read more