Malliavin calculus for lévy processes with applications to finance
Auteur :
Di Nunno, Giulia / Øksendal, Bernt / Proske, Frank
Éditeur :
Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
ISBN :
9783540785712
Date de publication :
6 nov. 2008
Dimensions :
23,5 x 15,5 cm
Langue :
Anglais
Pays d'origine :
Allemagne
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.