A Course on Malliavin-Skorohod Calculus for Additive Processes with Applications to Finance
by
Josep Vives
Book Details
Format
Hardback or Cased Book
ISBN-10
1498768555
ISBN-13
9781498768559
Publisher
Taylor & Francis Inc
Imprint
Productivity Press
Country of Manufacture
US
Country of Publication
GB
Publication Date
Aug 31st, 2030
Print length
400 Pages
Product Classification:
Probability & statisticsStochastics
Ksh 18,000.00
Not Yet Published
0 in stock
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Quality
Fast
The purpose of the book is to present the Malliavin-Skorohod calculus for additive processes, that is, processes with independent increments; in other words, Levy processes without the hypothesis of stationarity of increments. This will be the addition of Malliavin calculus for Gaussian processes and Malliavin calculus for Poisson random measures. The second is the application of the previous theory to finance, concretely, to stochastic volatility jump diffusion models, in order to solve problems related with pricing and hedging via Clark-Ocone formula, computation of sensitivities, obtaining useful price decompositions (Hull and White type formulas) and local risk minimizing strategies.
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