Financial mathematics has recently enjoyed considerable interest on account of its impact on the finance industry. In parallel, the theory of L?vy processes has

This book is an introduction to Malliavin calculus as a generalization of the classical non-anticipating Ito calculus to an anticipating setting. It presents th

A Lévy process is a continuous-time analogue of a random walk, and as such, is at the cradle of modern theories of stochastic processes. Martingales, Markov pr

WINNER of a Riskbook.com Best of 2004 Book Award! During the last decade, financial models based on jump processes have acquired increasing popularity in risk m

Lévy processes form a wide and rich class of random process, and have many applications ranging from physics to finance. Stochastic calculus is the mathematics