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Malliavin Calculus for Lévy Processes with Applications to Finance (Universitext) - Tapa blanda

Di Nunno, Giulia

 
9783540785712: Malliavin Calculus for Lévy Processes with Applications to Finance (Universitext)
Tapa blanda
ISBN 10: 354078571X ISBN 13: 9783540785712
Editorial: Springer Berlin Heidelberg, 2010

Sinopsis

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.

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Acerca del autor

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.

De la contraportada

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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Editorial
Springer Berlin Heidelberg
Año de publicación
2010
Idioma
Inglés
ISBN 10 
354078571X
ISBN 13 
9783540785712
Encuadernación
Tapa blanda
Número de edición
1
Número de páginas
432
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