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Malliavin Calculus for Levy Processes with Applications to Finance

part of the Universitext series

About Malliavin Calculus for Levy Processes with Applications to Finance

This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents the development of the theory and its use in new fields of application.

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  • Language:
  • English
  • ISBN:
  • 9783540785712
  • Binding:
  • Paperback
  • Pages:
  • 418
  • Published:
  • September 14, 2009
  • Edition:
  • 1200922009
  • Dimensions:
  • 158x227x30 mm.
  • Weight:
  • 620 g.
Delivery: 1-2 weeks
Expected delivery: November 17, 2024

Description of Malliavin Calculus for Levy Processes with Applications to Finance

This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents the development of the theory and its use in new fields of application.

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