| A Course on Malliavin-Skorohod Calculus for Additive Processes with Applications to Finance Contributor(s): Vives, Josep (Author) |
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ISBN: 1498768555 ISBN-13: 9781498768559 Publisher: CRC Press OUR PRICE: $123.45 Product Type: Hardcover Published: June 2026 This item may be ordered no more than 25 days prior to its publication date of June 30, 2026 |
| Additional Information |
| BISAC Categories: - Mathematics | Probability & Statistics - Bayesian Analysis |
| Series: Chapman & Hall/CRC Monographs and Research Notes in Mathemat |
| Physical Information: 400 pages |
| Descriptions, Reviews, Etc. |
| Publisher Description: The purpose of the book is to present the Malliavin-Skorohod calculus for additive processes, that is, processes with independent increments; in other words, L vy 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. |