Malliavin Calculus for Lévy Processes with Applications to Finance (Universitext)
From the reviews: “The book under review gives a quite complete description of the Malliavin and white noise approaches to stochastic analysis on both the Wiener and Poisson spaces with applications to mathematical finance. … In addition each chapter is accompanied with exercises and their solutions. … The technical requirements of the book are kept at a reasonable level and its organisation into short chapters not only facilitates the reading but also provides several alternative study plans making it a valuable learning and reference tool.” (Nicolas Privault, Mathematical Reviews, Issue 2010 f)