Malliavin Calculus for Lévy Processes with Applications to Finance

Malliavin Calculus for Lévy Processes with Applications to Finance by Giulia Di Nunno, Bernt Øksendal, Frank Proske.

While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications in stochastic control and finance, such as hedging in complete and incom...

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Bibliographic Details
Main Authors: Di Nunno, Giulia (Author), Øksendal, Bernt (Author), Proske, Frank (Author)
Corporate Author: SpringerLink (Online service)
Format: eBook
Language:English
Published: Berlin, Heidelberg : Springer Berlin Heidelberg : Imprint: Springer, 2009.
Edition:1st ed. 2009.
Series:Universitext,
Springer eBook Collection.
Subjects:
Probabilities.
Economics, Mathematical .
Electronic resources (E-books)
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Call Number: E-Book
Status: Available

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