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A Course on Malliavin-Skorohod Calculus for Additive Processes with Applications to Finance
Hardcover
Series: Chapman & Hall/CRC Monographs and Research Notes in Mathemat
ISBN13: 9781498768559
Publisher: CRC Press
Published: Jun 30 2026
Pages: 400
Language: English
The purpose of the book is to present the Malliavin-Skorohod calculus for additive processes, that is, processes with independent increments; in other words, Lévy processes without the hypothesis of stationarity of increments. This will be the addition of Malliavin calculus for Gaussian processes and Malliavin calculus for Poisson random measures. The second is the application of the previous theory to finance, concretely, to stochastic volatility jump diffusion models, in order to solve problems related with pricing and hedging via Clark-Ocone formula, computation of sensitivities, obtaining useful price decompositions (Hull and White type formulas) and local risk minimizing strategies.
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