scientific article; zbMATH DE number 5961452
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Publication:3094151
zbMATH Open1229.60043MaRDI QIDQ3094151FDOQ3094151
Authors: David Nualart, Salvador Ortiz-Latorre 
Publication date: 21 October 2011
Full work available at URL: http://ebooks.worldscinet.com/ISBN/9789814355711/9789814355711_0001.html
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Derivative securities (option pricing, hedging, etc.) (91G20) Gaussian processes (60G15) Stochastic calculus of variations and the Malliavin calculus (60H07) Fractional processes, including fractional Brownian motion (60G22)
Cited In (6)
- Wick–Itô formula for regular processes and applications to the Black and Scholes formula
- A Stratonovich-Skorohod integral formula for Gaussian rough paths
- Skorohod and rough integration for stochastic differential equations driven by Volterra processes
- Pathwise integrals and Itô-Tanaka formula for Gaussian processes
- Wick-Itô Formula for Gaussian Processes
- Wiener-Itô theorem in terms of Wick tensors
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