Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance
dc.contributor.author
Forster, Barbara
dc.contributor.author
Lütkebohmert, Eva
dc.contributor.author
Teichmann, Josef
dc.date.accessioned
2017-06-08T23:27:58Z
dc.date.available
2017-06-08T23:27:58Z
dc.date.issued
2009
dc.identifier.issn
0036-1410
dc.identifier.issn
1095-7154
dc.identifier.other
10.1137/070708822
dc.identifier.uri
http://hdl.handle.net/20.500.11850/19188
dc.language.iso
en
dc.publisher
SIAM
dc.subject
Malliavin calculus
dc.subject
compound Poisson process
dc.subject
Hormander condition
dc.subject
Greeks
dc.subject
Malliavin weight
dc.subject
stochastic partial differential equation
dc.subject
jump-diffusion
dc.subject
interest rate theory
dc.title
Absolutely continuous laws of jump-diffusions in finite and infinite dimensions with applications to mathematical finance
dc.type
Journal Article
ethz.journal.title
SIAM Journal on Mathematical Analysis
ethz.journal.volume
40
ethz.journal.issue
5
ethz.journal.abbreviated
SIAM j. math. anal.
ethz.pages.start
2132
ethz.pages.end
2153
ethz.notes
Received November 20 2007, Accepted September 23 2008, Published January 23 2009.
ethz.identifier.nebis
000055131
ethz.publication.place
Philadelphia, PA
ethz.publication.status
published
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03845 - Teichmann, Josef / Teichmann, Josef
ethz.date.deposited
2017-06-08T23:28:20Z
ethz.source
ECIT
ethz.identifier.importid
imp59364c9f9fdb983293
ethz.ecitpid
pub:31478
ethz.eth
yes
ethz.availability
Metadata only
ethz.rosetta.installDate
2017-07-12T14:15:51Z
ethz.rosetta.lastUpdated
2023-02-06T10:11:58Z
ethz.rosetta.versionExported
true
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=Absolutely%20continuous%20laws%20of%20jump-diffusions%20in%20finite%20and%20infinite%20dimensions%20with%20applications%20to%20mathematical%20finance&rft.jtitle=SIAM%20Journal%20on%20Mathematical%20Analysis&rft.date=2009&rft.volume=40&rft.issue=5&rft.spage=2132&rft.epage=2153&rft.issn=0036-1410&1095-7154&rft.au=Forster,%20Barbara&L%C3%BCtkebohmert,%20Eva&Teichmann,%20Josef&rft.genre=article&rft_id=info:doi/10.1137/070708822&
Files in this item
| Files | Size | Format | Open in viewer |
|---|---|---|---|
|
There are no files associated with this item. |
|||
Publication type
-
Journal Article [120852]