MARC状态:审校 文献类型:西文图书 浏览次数:42
- 题名/责任者:
- Malliavin calculus for lévy processes with applications to finance / Giulia Di Nunno, Bernt Oksendal, Frank Proske.
- 出版发行项:
- 北京 : 世界图书出版公司, 2013.
- ISBN:
- 9787510058325
- 载体形态项:
- xiii, 417 p. : ill. ; 23 cm.
- 丛编说明:
- 数学经典教材(影印版)
- 个人责任者:
- Nunno, Giulia Di.
- 附加个人名称:
- Oksendal, Bernt.
- 附加个人名称:
- Proske, Frank.
- 论题主题:
- Finance-Economic Mathematics.
- 论题主题:
- Finance-stochastic analysis.
- 中图法分类号:
- O177
- 一般附注:
- Cover parallel titles.
- 书目附注:
- Includes bibliographical references (p. 399-410) and index.
- 摘要附注:
- Malliavin random variational intention is to study the stochastic differential equations to decrypt the degree of smoothness, this book is yet another objective, aiming to describe the most important in stochastic control and finance and the new creative application, for example in the complete markets and incomplete market hedge, asymmetric information appears in optimization and pricing and the sensitive analysis. The book claims system, Malliavin calculus of Brown motion and the general type Levy noise tells more clearly; in addition, contains forward integration and extended to the general Levy process. Forward integration is expected in the stochastic calculus developed in the Malliavin calculus, and provides a new method to study together inside trade problem.
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