Malliavin calculus for Lévy processes with applications to finance

The book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. The calculus is presented both for the Brownian noise and for Levy type of noise. While the original works on Malliavin calculus aimed to study the smoothness of densities of solutions of stochastic differential equations mainly within the Brownian frame, this book has another goal: it presents the development of the theory and its use in new fields of application such as stochastic integral representations and stochastic control. The applications presented in the environment of mathematical finance include: hedging, in complete and incomplete markets, optimization in the presence of asymmetric information and also pricing andsensitivity analysis. Calculus is presented for both Brownian nois and Lévy type of noise Presents applications to mathematical finance New development of anticipating calculus

• ISBN: 978-3-540-78571-2
• Editorial: Springer
• Encuadernacion: Rústica
• Páginas: 350
• Fecha Publicación: 01/09/2008
• Nº Volúmenes: 1
• Idioma: Inglés