- We will send in 10–14 business days.
/images/books/13162308/9783540785712.jpg)
- Author: Giulia Di Nunno
- Publisher: Springer
- Year: 2009
- Pages: 413
- ISBN-10: 354078571X
- ISBN-13: 9783540785712
- Format: 15.5 x 23.4 x 2.5 cm, minkšti viršeliai
- Language: English
- SAVE -10% with code: EXTRA
Malliavin Calculus for Lévy Processes with Applications to Finance (e-book) (used book) | bookbook.eu
Reviews
Description
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.
EXTRA 10 % discount with code: EXTRA
The promotion ends in 22d.10:29:44
The discount code is valid when purchasing from 10 €. Discounts do not stack.
- Author: Giulia Di Nunno
- Publisher: Springer
- Year: 2009
- Pages: 413
- ISBN-10: 354078571X
- ISBN-13: 9783540785712
- Format: 15.5 x 23.4 x 2.5 cm, minkšti viršeliai
- Language: English English
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.
Reviews