Malliavin calculus for levy processes with applications to finance (Record no. 161886)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 02075 a2200241 4500 |
| 008 - FIXED-LENGTH DATA ELEMENTS--GENERAL INFORMATION | |
| fixed length control field | 140323b2009 xxu||||| |||| 00| 0 eng d |
| 020 ## - INTERNATIONAL STANDARD BOOK NUMBER | |
| International Standard Book Number | 9783540785712 |
| 082 ## - DEWEY DECIMAL CLASSIFICATION NUMBER | |
| Classification number | 519.2 |
| 100 ## - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Di Nunno, Guilia |
| 9 (RLIN) | 56731 |
| 245 ## - TITLE STATEMENT | |
| Title | Malliavin calculus for levy processes with applications to finance |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. (IMPRINT) | |
| Place of publication, distribution, etc. | Heidelberg |
| Name of publisher, distributor, etc. | SpringerVerlag |
| Date of publication, distribution, etc. | 2009 |
| -- | 133877 |
| 300 ## - PHYSICAL DESCRIPTION | |
| Extent | xiv, 418 p. |
| 365 ## - TRADE PRICE | |
| Price amount | Euro 39.95 |
| 440 ## - SERIES STATEMENT/ADDED ENTRY--TITLE | |
| Title | Universitext |
| 9 (RLIN) | 37344 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | While 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, optimization 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 Lvy type of noise are treated. Besides, forward integration is included and indeed extended to general Lvy 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. |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Malliavin calculus |
| 9 (RLIN) | 56732 |
| 650 ## - SUBJECT ADDED ENTRY--TOPICAL TERM | |
| Topical term or geographic name as entry element | Levy process - Finance |
| 9 (RLIN) | 56733 |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Oksendal, Bernt |
| 9 (RLIN) | 27045 |
| 700 ## - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Proske, Frank |
| 9 (RLIN) | 56734 |
| 942 ## - ADDED ENTRY ELEMENTS (KOHA) | |
| Koha item type | Books |
| 952 ## - LOCATION AND ITEM INFORMATION (KOHA) | |
| -- | 39.95 |
| -- | Euro |
| -- | 12/02/2009 |
| -- | Himanshu Book Co. |
| -- | 280684 |
| -- | 19/12/2008 |
| -- | 98420 |
| -- | 04/02/2009 |
| -- | Firm Order |
| -- | 2752.55 |
| -- | 20.00% |
| -- | 0.00 |
| -- | Prof. A K Laha |
| -- | 17.12.08 |
| Price effective from | Barcode | Cost, replacement price | Date last seen | Damaged status | Withdrawn status | Current library | Lost status | Full call number | Date acquired | Not for loan | Source of classification or shelving scheme | Koha item type | Home library | Shelving location | Item location | Total Checkouts | Total Renewals | Date checked out |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 19/04/2010 | 167268 | 2752.55 | 19/04/2010 | Vikram Sarabhai Library | 519.2 D4M2 | 18/04/2010 | Dewey Decimal Classification | Books | Vikram Sarabhai Library | |||||||||
| 19/04/2010 | 167268 | 2752.55 | 19/11/2019 | Vikram Sarabhai Library | 519.2 D4M2 | 18/04/2010 | Dewey Decimal Classification | Books | Vikram Sarabhai Library | General Stacks | Rack 28-B / Slot 1397 (0 Floor, East Wing) | 1 | 2 | 06/03/2019 |