Malliavin calculus in Lévy spaces and applications in finance
The main goal of this thesis is to develop Malliavin Calculus for Lévy processes. This will be achieved by using the representation property of square integrable functions; every Lévy process can be decomposed into a Wiener and Poisson random measure part. In the first part of the thesis we prove a...
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Imperial College London
2007
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.484722 |