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.
Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.
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.About the Author :
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.
Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.
Description du livre Springer Berlin Heidelberg 2008-11-06, Berlin |London, 2008. paperback. État : New. N° de réf. du libraire 9783540785712
Description du livre Springer, 2010. État : New. N° de réf. du libraire L9783540785712
Description du livre Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, 2008. PAP. État : New. New Book. Delivered from our UK warehouse in 3 to 5 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du libraire LQ-9783540785712
Description du livre Springer, 2016. Paperback. État : New. PRINT ON DEMAND Book; New; Publication Year 2016; Not Signed; Fast Shipping from the UK. No. book. N° de réf. du libraire ria9783540785712_lsuk
Description du livre Springer, 2008. Paperback. État : NEW. 9783540785712 This listing is a new book, a title currently in-print which we order directly and immediately from the publisher. N° de réf. du libraire HTANDREE0345168
Description du livre Springer, 2009. Paperback. État : New. This item is printed on demand. N° de réf. du libraire DADAX354078571X
Description du livre Springer-Verlag Berlin and Heidelberg GmbH and Co. KG, 2008. PAP. État : New. New Book. Shipped from US within 10 to 14 business days. THIS BOOK IS PRINTED ON DEMAND. Established seller since 2000. N° de réf. du libraire IQ-9783540785712
Description du livre Springer-Verlag Berlin And Heidelberg Gmbh & Co. Kg, 2009. Paperback. État : Brand New. 1st edition. 418 pages. 9.25x6.25x1.00 inches. In Stock. N° de réf. du libraire __354078571X
Description du livre Springer-Verlag Gmbh Nov 2008, 2008. Taschenbuch. État : Neu. Neuware - 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  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 . 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. 418 pp. Englisch. N° de réf. du libraire 9783540785712
Description du livre Springer, 2010. Paperback. État : New. book. N° de réf. du libraire 354078571X