Stochastic Calculus Of Variations In Mathematical Finance
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Stochastic Calculus of Variations in Mathematical Finance
Author: Paul Malliavin
language: en
Publisher: Springer Science & Business Media
Release Date: 2006-02-25
Highly esteemed author Topics covered are relevant and timely
Stochastic Calculus of Variations
Author: Yasushi Ishikawa
language: en
Publisher: Walter de Gruyter GmbH & Co KG
Release Date: 2023-07-24
This book is a concise introduction to the stochastic calculus of variations for processes with jumps. The author provides many results on this topic in a self-contained way for e.g., stochastic differential equations (SDEs) with jumps. The book also contains some applications of the stochastic calculus for processes with jumps to the control theory, mathematical finance and so. This third and entirely revised edition of the work is updated to reflect the latest developments in the theory and some applications with graphics.
Stochastic Processes and Applications to Mathematical Finance
Based around recent lectures given at the prestigious Ritsumeikan conference, the tutorial and expository articles contained in this volume are an essential guide for practitioners and graduates alike who use stochastic calculus in finance.Among the eminent contributors are Paul Malliavin and Shinzo Watanabe, pioneers of Malliavin Calculus. The coverage also includes a valuable review of current research on credit risks in a mathematically sophisticated way contrasting with existing economics-oriented articles.