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Differential Calculus and Integration by Parts on Poisson Space

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References

1984Lectures on Stochastic Differential Equations and Malliavin Calculus271 cited
1991Malliavin calculus for processes with jumps263 cited
1983Calcul des variations stochastique et processus de sauts138 cited

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1995Covariance Identities and Inequalities for Functionals on Wiener and Poisson Spaces59 cited
1997Differentiable measures and the Malliavin calculus54 cited
1995A Duality Formula on the Poisson Space and Some Applications49 cited
2007Integration by parts formula for locally smooth laws and applications to sensitivity computations44 cited
2004Partial mixing and Edgeworth expansion30 cited
2010GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES28 cited
2006Computation of Greeks using Malliavin's calculus in jump type market models28 cited
2010Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion23 cited

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