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001			297654
003			MX-SnUAN
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008			150903s2009 gw | o |||| 0|eng d
020			_a9783540785729 _99783540785729
024	7		_a10.1007/9783540785729 _2doi
035			_avtls000351665
039		9	_a201509030928 _bVLOAD _c201405060254 _dVLOAD _y201402171142 _zstaff
040			_aMX-SnUAN _bspa _cMX-SnUAN _erda
050		4	_aQA273.A1-274.9
100	1		_aNunno, Giulia Di. _eeditor. _9333529
245	1	0	_aMalliavin Calculus for Lévy Processes with Applications to Finance / _cedited by Giulia Di Nunno, Bernt Øksendal, Frank Proske.
264		1	_aBerlin, Heidelberg : _bSpringer Berlin Heidelberg, _c2009.
300			_brecurso en línea.
336			_atexto _btxt _2rdacontent
337			_acomputadora _bc _2rdamedia
338			_arecurso en línea _bcr _2rdacarrier
347			_aarchivo de texto _bPDF _2rda
490	0		_aUniversitext
500			_aSpringer eBooks
505	0		_aThe Continuous Case: Brownian Motion -- The Wiener—Itô Chaos Expansion -- The Skorohod Integral -- Malliavin Derivative via Chaos Expansion -- Integral Representations and the Clark—Ocone formula -- White Noise, the Wick Product, and Stochastic Integration -- The Hida—Malliavin Derivative on the Space ? = S?(?) -- The Donsker Delta Function and Applications -- The Forward Integral and Applications -- The Discontinuous Case: Pure Jump Lévy Processes -- A Short Introduction to Lévy Processes -- The Wiener—Itô Chaos Expansion -- Skorohod Integrals -- The Malliavin Derivative -- Lévy White Noise and Stochastic Distributions -- The Donsker Delta Function of a Lévy Process and Applications -- The Forward Integral -- Applications to Stochastic Control: Partial and Inside Information -- Regularity of Solutions of SDEs Driven by Lévy Processes -- Absolute Continuity of Probability Laws.
520			_aWhile the original works on Malliavin calculus aimed to study the smoothness of densities of solutions to stochastic differential equations, this book has another goal. It portrays the most important and innovative applications in stochastic control and finance, such as hedging in complete and incomplete markets, optimisation in the presence of asymmetric information and also pricing and sensitivity analysis. In a self-contained fashion, both the Malliavin calculus with respect to Brownian motion and general Lévy type of noise are treated. Besides, forward integration is included and indeed extended to general Lévy processes. The forward integration is a recent development within anticipative stochastic calculus that, together with the Malliavin calculus, provides new methods for the study of insider trading problems. To allow more flexibility in the treatment of the mathematical tools, the generalization of Malliavin calculus to the white noise framework is also discussed. This book is a valuable resource for graduate students, lecturers in stochastic analysis and applied researchers.
590			_aPara consulta fuera de la UANL se requiere clave de acceso remoto.
700	1		_aØksendal, Bernt. _eeditor. _9305645
700	1		_aProske, Frank. _eeditor. _9333530
710	2		_aSpringerLink (Servicio en línea) _9299170
776	0	8	_iEdición impresa: _z9783540785712
856	4	0	_uhttp://remoto.dgb.uanl.mx/login?url=http://dx.doi.org/10.1007/978-3-540-78572-9 _zConectar a Springer E-Books (Para consulta externa se requiere previa autentificación en Biblioteca Digital UANL)
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999			_c297654 _d297654