Overview
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.
Full Product Details
Author: Giulia Di Nunno ,
Bernt Øksendal ,
Frank Proske
Publisher: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint: Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition: 1st Corrected ed. 2009, Corr. 2nd printing 2009
Dimensions:
Width: 15.50cm
, Height: 2.50cm
, Length: 23.50cm
Weight: 1.330kg
ISBN: 9783540785712
ISBN 10: 354078571
Pages: 418
Publication Date: 06 November 2008
Audience:
College/higher education
,
Undergraduate
,
Postgraduate, Research & Scholarly
Format: Paperback
Publisher's Status: Active
Availability: In Print
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Reviews
From the reviews: The book under review gives a quite complete description of the Malliavin and white noise approaches to stochastic analysis on both the Wiener and Poisson spaces with applications to mathematical finance. ! In addition each chapter is accompanied with exercises and their solutions. ! The technical requirements of the book are kept at a reasonable level and its organisation into short chapters not only facilitates the reading but also provides several alternative study plans making it a valuable learning and reference tool. (Nicolas Privault, Mathematical Reviews, Issue 2010 f)
From the reviews: The book under review gives a quite complete description of the Malliavin and white noise approaches to stochastic analysis on both the Wiener and Poisson spaces with applications to mathematical finance. ... In addition each chapter is accompanied with exercises and their solutions. ... The technical requirements of the book are kept at a reasonable level and its organisation into short chapters not only facilitates the reading but also provides several alternative study plans making it a valuable learning and reference tool. (Nicolas Privault, Mathematical Reviews, Issue 2010 f)
Author Information
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.
