Malliavin Calculus for Lévy Processes with Applications to Finance

• Corporate Author: SpringerLink (Online service)
• Other Authors: Nunno, Giulia Di (Editor), Øksendal, Bernt (Editor), Proske, Frank (Editor)
• Format: Electronic eBook
• Language: English
• Published: Berlin, Heidelberg : Springer Berlin Heidelberg, 2009.
• Series: Universitext
• Subjects: Mathematics.; Economics, Mathematical.; Probabilities.; Probability Theory and Stochastic Processes.; Quantitative Finance.

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 incom...