Di Nunno, Giulia, Bernt Øksendal, Frank Proske, "Malliavin Calculus for Lévy Processes with Applications to Finance"
2009 | pages: 419 | ISBN: 354078571X | PDF | 4,2 mb
2009 | pages: 419 | ISBN: 354078571X | PDF | 4,2 mb
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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