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Book Review
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Book Information
Author(s):
Paul Malliavin and Anton Thalmaier
Title:
Stochastic calculus of variations in mathematical finance
Additional book information:
Springer-Verlag, Berlin,
2006,
xii+142,
US$59.95,
978-3-540-43431-3
References:
-
- 1.
- Emilio Barucci, Paul Malliavin, Maria Elvira Mancino, Roberto Renò, and Anton Thalmaier, The price-volatility feedback rate: an implementable mathematical indicator of market stability, Math. Finance 13 (2003), no. 1, 17-35, Conference on Applications of Malliavin Calculus in Finance (Rocquencourt, 2001). MR 1968094 (2004d:91099)
- 2.
- Nicolas Bouleau and Francis Hirsch, Dirichlet forms and analysis on Wiener space, de Gruyter Studies in Mathematics, vol. 14, Walter de Gruyter & Co., Berlin, 1991. MR 1133391 (93e:60107)
- 3.
- Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, and Pierre-Louis Lions, Applications of Malliavin calculus to Monte-Carlo methods in finance. II, Finance Stoch. 5 (2001), no. 2, 201-236. MR 1841717 (2002e:91063)
- 4.
- Eric Fournié, Jean-Michel Lasry, Jérôme Lebuchoux, Pierre-Louis Lions, and Nizar Touzi, Applications of Malliavin calculus to Monte Carlo methods in finance, Finance Stoch. 3 (1999), no. 4, 391-412. MR 1842285 (2002e:91062)
- 5.
- Peter Imkeller, Malliavin's calculus in insider models: additional utility and free lunches, Math. Finance 13 (2003), no. 1, 153-169, Conference on Applications of Malliavin Calculus in Finance (Rocquencourt, 2001). MR 1968102 (2004b:91079)
- 6.
- Paul Malliavin, Stochastic calculus of variation and hypoelliptic operators, Proceedings of the International Symposium on Stochastic Differential Equations (Res. Inst. Math. Sci., Kyoto Univ., Kyoto, 1976) (New York-Chichester-Brisbane), Wiley, 1978, pp. 195-263.
- 7.
- Paul Malliavin and Anton Thalmaier, Numerical error for SDE: asymptotic expansion and hyperdistributions, C. R. Math. Acad. Sci. Paris 336 (2003), no. 10, 851-856. MR 1990027 (2004d:60142)
- 8.
- D. Nualart and É. Pardoux, Stochastic calculus with anticipating integrands, Probab. Theory Related Fields 78 (1988), no. 4, 535-581. MR 950346 (89h:60089)
- 9.
- Daniel L. Ocone and Ioannis Karatzas, A generalized Clark representation formula, with application to optimal portfolios, Stochastics Stochastics Rep. 34 (1991), no. 3-4, 187-220. MR 1124835 (93b:60098)
- 10.
- Gilles Pisier, Riesz transforms: a simpler analytic proof of P.-A. Meyer's inequality, Séminaire de Probabilités, XXII, Lecture Notes in Math., vol. 1321, Springer, Berlin, 1988, pp. 485-501. MR 960544 (89m:60178)
- 11.
- S. Watanabe, Lectures on stochastic differential equations and Malliavin calculus, Tata Institute of Fundamental Research Lectures on Mathematics and Physics, vol. 73, published for the Tata Institute of Fundamental Research, Bombay, 1984; notes by M. Gopalan Nair and B. Rajeev. MR 742628 (86b:60113)
- 12.
- Shinzo Watanabe, Analysis of Wiener functionals (Malliavin calculus) and its applications to heat kernels, Ann. Probab. 15 (1987), no. 1, 1-39. MR 877589 (88h:60111)
Additional Information:
Reviewer(s):
David
Nualart
Affiliation:
Kansas University
Email:
nualart@math.ku.edu
Review Information:
Journal:
Bull. Amer. Math. Soc.
44
(2007),
487-492.
MSC
(2000):
Primary 60H07, 60H30;
Secondary 91B24
DOI:
10.1090/S0273-0979-07-01146-9
PII:
S 0273-0979(07)01146-9
Posted:
April 10, 2007
Copyright of article:
Copyright
2007,
American Mathematical Society
The copyright for this article reverts to public domain after 28 years from publication.
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