Search
Now showing items 1-2 of 2
(Research report / Forskningsrapport, 2006)
We use white noise calculus for Lévy processes to obtain a representation formula for the functionals of a jump diffusion. Then we use this to find an explicit formula for the Donsker delta function of a jump diffusion and ...
(Research report / Forskningsrapport, 2006)
In a market driven by Lévy processes, we consider an optimal portfolio problem for a dealer who has access to some information in general smaller than the one generated by the market events, in this sense we refer to this ...