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商品詳細
A Course on Malliavin-Skorohod Calculus for Additive Processes with Applications to Finance.
・ISBN 978-1-4987-6855-9 hard GB£ 100.00
￥31,680.- (税込) ※（※）価格はご注文時の参考価格となります。
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| 著者・編者 | Vives, Josep, |
|---|---|
| シリーズ | Chapman & Hall/CRC Monographs and Research Notes in Mathematics |
| 出版社 | (Productivity Press, US) |
| 出版年月 | 2031 |
| ページ数 | 400 pp. |
| 言語 | ENG |
| ニュース番号 | ＜M25-16278＞ |
解説
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.