Business & Economics Books:

Malliavin Calculus for Lévy Processes with Applications to Finance

Click to share your rating 0 ratings (0.0/5.0 average) Thanks for your vote!

Format:

Paperback / softback
$241.00
Available from supplier

The item is brand new and in-stock with one of our preferred suppliers. The item will ship from a Mighty Ape warehouse within the timeframe shown.

Usually ships in 2-3 weeks
Free Delivery with Primate
Join Now

Free 14 day free trial, cancel anytime.

Buy Now, Pay Later with:

4 payments of $60.25 with Afterpay Learn more

6 weekly interest-free payments of $40.17 with Laybuy Learn more

Availability

Delivering to:

Estimated arrival:

  • Around 8-20 May using International Courier

Description

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.

Author Biography:

Giulia Di Nunno, Bernt A ksendal 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.
Release date NZ
November 6th, 2008
Audiences
  • Postgraduate, Research & Scholarly
  • Undergraduate
Illustrations
XIV, 418 p.
Pages
418
Dimensions
156x234x22
ISBN-13
9783540785712
Product ID
2630879

Customer reviews

Nobody has reviewed this product yet. You could be the first!

Write a Review

Marketplace listings

There are no Marketplace listings available for this product currently.
Already own it? Create a free listing and pay just 9% commission when it sells!

Sell Yours Here

Help & options

Filed under...