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Functionals of Multidimensional Diffusions with Applications to Finance - Couverture souple

Livre 5 sur 9: Bocconi & Springer Series

Baldeaux, Jan; Platen, Eckhard

 
9783319033341: Functionals of Multidimensional Diffusions with Applications to Finance
Couverture souple
ISBN 10 : 3319033344 ISBN 13 : 9783319033341
Editeur : Springer, 2015

Synopsis

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.?

Les informations fournies dans la section « Synopsis » peuvent faire référence à une autre édition de ce titre.

À propos de la quatrième de couverture

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.?

Les informations fournies dans la section « A propos du livre » peuvent faire référence à une autre édition de ce titre.

Éditeur
Springer
Date d'édition
2015
Langue
anglais
ISBN 10 
3319033344
ISBN 13 
9783319033341
Reliure
Broché
Nombre de pages
425
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