Functionals of Multidimensional Diffusions with Applications to Finance (Bocconi & Springer Series, 5, Band 5) - Hardcover

Buch 5 von 9: Bocconi & Springer Series

Baldeaux, Jan; Platen, Eckhard

 
9783319007465: Functionals of Multidimensional Diffusions with Applications to Finance (Bocconi & Springer Series, 5, Band 5)
Hardcover
ISBN 10: 3319007467 ISBN 13: 9783319007465
Verlag: Springer, 2013

Inhaltsangabe

This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.​

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This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or functionals can be obtained in explicit form. The book also provides an introduction to the use of Lie symmetry group methods for diffusions, which allows to compute a wide range of functionals. Besides the well-known methodology on affine diffusions it presents a novel approach to affine processes with applications in finance. Numerical methods, including Monte Carlo and quadrature methods, are discussed together with supporting material on stochastic processes. Applications in finance, for instance, on credit risk and credit valuation adjustment are included in the book. The functionals of multidimensional diffusions analyzed in this book are significant for many areas of application beyond finance. The book is aimed at a wide readership, and develops an intuitive and rigorous understanding of the mathematics underlying the derivation of explicit formulas for functionals of multidimensional diffusions.​

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Verlag
Springer
Erscheinungsdatum
2013
Sprache
Englisch
ISBN 10 
3319007467
ISBN 13 
9783319007465
Einband
Gebundene Ausgabe
Anzahl der Seiten
448
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Vorgestellte Ausgabe

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Softcover