Functionals of multidimensional diffusions with applications to finance (eBook, 2013) [WorldCat.org]
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Functionals of multidimensional diffusions with applications to finance

Author: Jan Baldeaux; Eckhard Platen
Publisher: Cham : Springer, 2013.
Series: Bocconi & Springer series, v. 5.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
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  Read more...
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Genre/Form: Electronic books
Additional Physical Format: Print version:
Baldeaux, Jan.
Functionals of multidimensional diffusions with applications to finance
(OCoLC)841520743
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jan Baldeaux; Eckhard Platen
ISBN: 9783319007472 3319007475 3319007467 9783319007465 9781299857018 1299857019
OCLC Number: 857279861
Language Note: English.
Description: 1 online resource (xxiii, 425 pages)
Contents: A Benchmark Approach to Risk Management --
Functionals of Wiener Processes --
Functionals of Squared Bessel Processes --
Lie Symmetry Group Methods --
Transition Densities via Lie Symmetry Methods --
Exact and Almost Exact Simulation --
Affine Diffusion Processes on the Euclidean Space --
Pricing Using Affine Diffusions --
Solvable Affine Processes on the Euclidean State Space --
An Introduction to Matrix Variate Stochastics --
Wishart Processes --
Monte Carlo and Quasi-Monte Carlo Methods --
Computational Tools --
Credit Risk under the Benchmark Approach --
Continuous Stochastic Processes --
Time-Homogeneous Scalar Diffusions --
Detecting Strict Local Martingales.
Series Title: Bocconi & Springer series, v. 5.
Responsibility: Jan Baldeaux, Eckard Platen.

Abstract:

This research monograph provides an introduction to tractable multidimensional diffusion models, where transition densities, Laplace transforms, Fourier transforms, fundamental solutions or  Read more...

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"The textbook at hand focuses on 'tractable multidimensional models with functionals that have explicit solutions'. ... The book also covers in detail numerical techniques such exact and almost exact Read more...

 
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