Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance
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Date
2009Type
- Journal Article
ETH Bibliography
yes
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Publication status
publishedExternal links
Journal / series
SIAM Journal on Mathematical AnalysisVolume
Pages / Article No.
Publisher
SIAMSubject
Malliavin calculus; compound Poisson process; Hormander condition; Greeks; Malliavin weight; stochastic partial differential equation; jump-diffusion; interest rate theoryOrganisational unit
03845 - Teichmann, Josef / Teichmann, Josef
Notes
Received November 20 2007, Accepted September 23 2008, Published January 23 2009.More
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ETH Bibliography
yes
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