Malliavin calculus in Lev́y spaces and applications to finance.
Malliavin method for optimal investment in financial markets with memory
We consider a financial market with memory effects in which wealth processes are driven by mean-field stochastic Volterra equations. In this financial market, the classical dynamic programming method can not be used to study the optimal investment problem, because the solution of mean-field stochastic Volterra equation is not a Markov process. In this paper, a new method through Malliavin calculus introduced in [1], can be used to obtain the optimal investment in a Volterra type financial market....
Martingales and arbitrage: a new look.
Mathematical methods in modern risk measurement: a survey.
Modeling and pricing of variance and volatility swaps for local semi-Markov volatilities in financial engineering.