Malliavin calculus for Lévy processes with applications to finance
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...
में बचाया:
| मुख्य लेखकों: | , , |
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| स्वरूप: | Livre numérique |
| भाषा: | Anglais |
| प्रकाशित: |
Berlin, Heidelberg :
Springer Berlin Heidelberg
[20..].
Cham : Springer Nature |
| श्रृंखला: | Universitext
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| विषय: | |
| ऑनलाइन पहुंच: | Accès sur la plateforme de l'éditeur Accès sur la plateforme Istex Accès Université d'Orléans Accès INSA CVL |
| टिप्पणी: |
Description d'après consultation du 30 mars 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| Autres localisations: | Voir dans le Sudoc |
| Edition sous un autre format: | • Malliavin calculus for Levy processes with applications to finance, Giulia Di Nunno, Bernt Oksendal, Frank Proske, 2009, Berlin, Springer, 1 vol. (XIII-413 p.), Universitext, 978-3-540-78571-2 |
| सारांश: | 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 incomplete markets, optimisation in the presence of asymmetric information and also pricing and sensitivity analysis. In a self-contained fashion, both the Malliavin calculus with respect to Brownian motion and general Lévy type of noise are treated. Besides, forward integration is included and indeed extended to general Lévy processes. The forward integration is a recent development within anticipative stochastic calculus that, together with the Malliavin calculus, provides new methods for the study of insider trading problems. To allow more flexibility in the treatment of the mathematical tools, the generalization of Malliavin calculus to the white noise framework is also discussed. This book is a valuable resource for graduate students, lecturers in stochastic analysis and applied researchers |
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| वस्तु वर्णन: | Description d'après consultation du 30 mars 2012 Archives Springer e-books (Licence nationale) Archives Springer e-books (Licence nationale) |
| ग्रन्थसूची: | Bibliogr. Index |
| आईएसबीएन: | 9783540785729 |
| अभिगमन: | Accès en ligne pour les établissements français bénéficiaires des licences nationales Accès soumis à abonnement pour tout autre établissement Conditions particulières de réutilisation pour les bénéficiaires des licences nationales. https://www.licencesnationales.fr/springer-nature-ebooks-contrat-licence-ln-2017 |