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Malliavin Calculus for Levy Processes with Applications to Finance

Malliavin Calculus for Levy Processes with Applications to Finance (Paperback)

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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.

BusinessFinance & accountingFinanceScience & MathematicsMathematicsApplied mathematicsStochasticsScience & MathematicsMathematicsProbability & statistics Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG Publication Date: 17/09/2008 ISBN-13: 9783540785712  Details: Type: Paperback Format: Books
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Giulia Di Nunno, Bernt Oksendal 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.

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