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Catalogue Information
Field name	Details
Dewey Class	519.2
Title	Malliavin Calculus for Lévy Processes with Applications to Finance ([Ebook]) / edited by Giulia Di Nunno, Bernt Øksendal, Frank Proske.
Author	Nunno, Giulia Di
Added Personal Name	Øksendal, B. K.(Bernt Karsten) , 1945-
Added Personal Name	Proske, Frank
Other name(s)	SpringerLink (Online service)
Publication	Berlin, Heidelberg : Springer , 2009.
Physical Details	: online resource.
Series	Universitext
ISBN	9783540785729
Summary Note	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 LÃ©vy 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.:
System details note	Online access to this digital book is restricted to subscription institutions through IP address (only for SISSA internal users).
Internet Site	http://dx.doi.org/10.1007/978-3-540-78572-9
Links to Related Works	Subject References: Distribution (Probability theory) . Finance . Mathematics . Probability theory and stochastic processes . Quantitative Finance . Authors: editor . Nunno, Giulia Di . Øksendal, B. K.(Bernt Karsten) 1945- . Proske, Frank . Corporate Authors: SpringerLink (Online service) . Series: Universitext . Classification: 519.2 . 519.2 (DDC 23) .

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Malliavin Calculus for Lévy Processes with Applications to Finance

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