The PDF file you selected should load here if your Web browser has a PDF reader plug-in installed (for example, a recent version of Adobe Acrobat Reader).

Alternatively, you can also download the PDF file directly to your computer, from where it can be opened using a PDF reader. To download the PDF, click the Download link below.

If you would like more information about how to print, save, and work with PDFs, Highwire Press provides a helpful Frequently Asked Questions about PDFs.

Download this PDF file Fullscreen Fullscreen Off

References

  1. F. Biagini, B.0ksendal, A. Sulem, and N. Wallner. An introduction to white noise and Malliavin calculus for fractional Brownian motion. To appear in Proc. Royal Soc. London. 35 pages, 2003.
  2. Bichteler, Klaus; Gravereaux, Jean-Bernard; Jacod, Jean. Malliavin calculus for processes with jumps. Stochastics Monographs, 2. Gordon and Breach Science Publishers, New York, 1987. x+161 pp. ISBN: 2-88124-185-9 MR1008471 (90h:60056)
  3. Bouleau, Nicolas. Error calculus for finance and physics: the language of Dirichlet forms. de Gruyter Expositions in Mathematics, 37. Walter de Gruyter & Co., Berlin, 2003. x+234 pp. ISBN: 3-11-018036-7 MR2079474 (2005g:60003)
  4. Eric A. Carlen and tienne Pardoux. Differential calculus and integration by parts on Poisson space. Kluwer ed, Stochastics, algebra and analysis in classical and quantum dynamics, pages 63--73, 1990.
  5. Cont, Rama; Tankov, Peter. Financial modelling with jump processes. Chapman & Hall/CRC Financial Mathematics Series. Chapman & Hall/CRC, Boca Raton, FL, 2004. xvi+535 pp. ISBN: 1-5848-8413-4 MR2042661 (2004m:91004)
  6. M.H.A. Davis and M.~Johansson. Malliavin Monte Carlo Greeks for jump diffusions. Preprint submitted to Stochastic Processes and their Applications, 2004.
  7. B. Oksendal. An introduction to Malliavin calculus with applications to economics. Lecture notes, Norwegian School of Economics and Business Administration, Norway, 1996.
  8. E.Fourni, J.M. Lasry, J.Lebouchoux, and P.L. Lions. Applications of Malliavin Calculus to Monte Carlo Methods in Finance II. Finance Stoch., 2:73--88, 2001.
  9. E.~Fourni, J.M. Lasry, J.Lebouchoux, P.L. Lions, and N.Touzi. Applications of Malliavin calculus to Monte Carlo Methods in Finance. Finance Stoch., 5(2):201--236, 1999.
  10. El-Khatib, Youssef; Privault, Nicolas. Computations of Greeks in a market with jumps via the Malliavin calculus. Finance Stoch. 8 (2004), no. 2, 161--179. MR2048826 (2004k:91105)
  11. Nualart, David; Vives, Josep. Anticipative calculus for the Poisson process based on the Fock space. 154--165, Lecture Notes in Math., 1426, Springer, Berlin, 1990. MR1071538 (92i:60109)
  12. G. Di Nunno, B.Oksendal and F. Proske. Malliavin calculus for Lvy processes. To appear in Proc. Royal Soc. London., Manuscript, 2003.
  13. N.Privault and V.Debelley. Sensitivity analysis of European options in the Merton model via the Malliavin calculus on the Wiener space. Preprint., 2004.
  14. León, Jorge A.; Solé, Josep L.; Utzet, Frederic; Vives, Josep. On Lévy processes, Malliavin calculus and market models with jumps. Finance Stoch. 6 (2002), no. 2, 197--225. MR1897959 (2003b:60062)


Creative Commons License
This work is licensed under a Creative Commons Attribution 3.0 License.