Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance
- Journal Article
Journal / seriesSIAM journal on mathematical analysis
SubjectMalliavin calculus; compound Poisson process; Hormander condition; Greeks; Malliavin weight; stochastic partial differential equation; jump-diffusion; interest rate theory
Organisational unit03845 - Teichmann, Josef
NotesReceived November 20 2007, Accepted September 23 2008, Published January 23 2009.
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