Springer Malliavin Calculus For Levy Processes With Applications To Finance October 2009 eBook

Springer Malliavin Calculus For Levy Processes With Applications To Finance October 2009 eBook

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 Levy type of
noise are treated.

Besides, forward integration is included and indeed extended to general Levy
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.

amazon/Malliavin Calculus Processes Applications Universitext/dp/354078571X

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