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(Research report / Forskningsrapport, 2002)
In this paper we develop a white noise framework for the study of stochastic partial differential equations driven by a d-parameter (pure jump) Lévy white noise. As an example we use this theory to solve the stochastic ...
(Research report / Forskningsrapport, 2001)
In a market driven by a Lévy martingale, we consider a claim x. We study the problem of minimal variance hedging and we give an explicit formula for the minimal variance portfolio in terms of Malliavin derivatives. We ...