Derivatives of diffusions with applications in finance

MaRDI QIDQ1884214zbMATH OpenFDO

Authors Tadeusz Henryk Banek

Publication date 26 October 2004

Published in Bulletin of the Polish Academy of Sciences. Technical Sciences (Search for Journal in Brave)

zbMATH Keywords

chaos expansionderivative operatorsdiffusion processesMalliavin calculus

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Diffusion processes (60J60)

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(6)

• Diffusions, their derivatives and expansions in Wiener chaos
• Generalized hyperbolic diffusion processes with applications in finance
• Diffusion approximation of Lévy processes with a view towards finance
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• Derivatives with Support and Applications
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