Malliavan Calculus for Levy Processes with Applications to Finance

Di Nunno, Giulia; Oksendal, Bernt; Proske, Frank

ISBN 10: 354078571X / ISBN 13: 9783540785712

Published by Springer, 2008

About this Item

Unread book in perfect condition.

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Bibliographic Details

• Title: Malliavan Calculus for Levy Processes with Applications to Finance
• Publisher: Springer
• Publication Date: 2008
• Language: English
• ISBN 10: 354078571X
• ISBN 13: 9783540785712
• Binding: Soft cover
• Condition: As New

About this title

Synopsis

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.

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.