A Course on Malliavin-Skorohod Calculus for Additive Processes with Applications to Finance:
Vives, Josep |
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ISBN 13: 9781498768559 ISBN 10: 1498768555 Category: Mathematics / Statistics Edition: 1 Publisher: Taylor & Francis Publication Date: 08/2031 Format: Cloth Status: Not Yet Published Imprint: Chapman and Hall/CRC Affiliation: Universitat de Barcelona, Facultat de Matematiques, Catalunya, Spain Pages: 400 Weight: 2 Retail Price: 129.95 (Tentative Price May Change) Quantity On Hand: 0 Quantity On Order: 0 |
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Synopsis: The purpose of the book is to present the Malliavin-Skorohod calculus for additive processes, that is, processes with independent increments; in other words, Lévy 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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