Welcome to the course!

In this course we shall study some techniques of stochastic integration beyond the Ito calculus, or the so called non-anticipating integration. Here "anticipating" and "non-anticipating" is referred to the information flow. We shall also introduce the concept of stochastic derivative. 

These concepts and the calculus associated constitute a baggage of tools that has turned out to be powerful both in the development of stochastic theory, mathematical statistics, and also directly in applications. The applications we are focusing on are related to financial modelling and control.

This course introducing the Malliavin calculus both for Brownian motion and for Levy processes. The necessary introduction to Levy processes will be given in class.

Details about the lectures will be posted under the section "Schedule".

Standard reference for this course is the book:

Malliavin Calculus for Levy Processes with Applications to Finance. By Giulia Di Nunno, Bernt ?ksendal, and Frank Proske. Springer 2009. http://www.springer.com/la/book/9783540785712

Other relevant references are:

The Malliavin Calculus and Related Topics. By David Nualart. Springer 2006. http://www.springer.com/la/book/9783540283287

Levy Processes and Stochastic Calculus. By David Applebaum. 2nd edition. Cambridge 2009