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Taschenbuch. Zustand: Neu. Functionals of Multidimensional Diffusions with Applications to Finance | Jan Baldeaux (u. a.) | Taschenbuch | Bocconi & Springer Series | xxiii | Englisch | 2015 | Springer | EAN 9783319033341 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu.
Sprache: Englisch
Verlag: Springer International Publishing AG, Cham, 2013
ISBN 10: 3319007467 ISBN 13: 9783319007465
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Hardcover. Zustand: new. Hardcover. 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. 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. Shipping may be from multiple locations in the US or from the UK, depending on stock availability.
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Sprache: Englisch
Verlag: Springer International Publishing AG, Cham, 2013
ISBN 10: 3319007467 ISBN 13: 9783319007465
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Hardcover. Zustand: new. Hardcover. 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. 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. Shipping may be from our Sydney, NSW warehouse or from our UK or US warehouse, depending on stock availability.
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Sprache: Englisch
Verlag: Springer International Publishing, 2015
ISBN 10: 3319033344 ISBN 13: 9783319033341
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In den WarenkorbZustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Provides the reader in a systematic way with the ability to derive explicit formulas for functionals of multidimensional diffusionsSpecial unique chapters on Lie symmetry group methods and matrix valued Wishart processes Provides the most r.
Sprache: Englisch
Verlag: Springer International Publishing, 2013
ISBN 10: 3319007467 ISBN 13: 9783319007465
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In den WarenkorbGebunden. Zustand: New. Dieser Artikel ist ein Print on Demand Artikel und wird nach Ihrer Bestellung fuer Sie gedruckt. Provides the reader in a systematic way with the ability to derive explicit formulas for functionals of multidimensional diffusionsSpecial unique chapters on Lie symmetry group methods and matrix valued Wishart processes Provides the most r.
Anbieter: preigu, Osnabrück, Deutschland
Buch. Zustand: Neu. Functionals of Multidimensional Diffusions with Applications to Finance | Jan Baldeaux (u. a.) | Buch | Bocconi & Springer Series | xxiii | Englisch | 2013 | Springer | EAN 9783319007465 | Verantwortliche Person für die EU: Springer Verlag GmbH, Tiergartenstr. 17, 69121 Heidelberg, juergen[dot]hartmann[at]springer[dot]com | Anbieter: preigu Print on Demand.