MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

---

Funded by The Danish National Research Foundation

Concentrated Advanced Course

An Introduction to Malliavin Calculus with Applications to Finance

Lectures by Bernt Øksendal

May 25-29, 1998

University of Aarhus

From Monday, May 25, 1998 to Friday, May 29, 1998 MaPhySto organized a Concentrated Advanced Course on Malliavin Calculus.

Programme:

25 May 09.00-11.00: Introduction. The Wiener-Itô Chaos Expansion
26 May 09.00-11.00: The Skorohod Integral
27 May 09.00-11.00: Differentiation. The Malliavin Derivative
28 May 09.00-11.00: The Clark-Ocone Formula and Generalization
29 May 09.00-11.00: Applications, e.g. to Mathematical Finance

The purpose of the course was to give a short and relatively non-technical introduction to Malliavin calculus, with emphasis on some parts of the theory which are of special interest in economics applications. The course was based on the lecture notes:

B. Øksendal: An Introduction to Malliavin Calculus with Applications to Economics. Working Paper No. 3, 1996, at the Norwegian School of Economics and Business Administration, Bergen, Norway.

More Information

Please make further inquiries to MaPhySto (maphysto@mi.aau.dk) or to the local organizer Svend Erik Graversen.

List of participants