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Bocconi & Springer #5: Functionals of Multidimensional Diffusions with Applications to Finance

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Bocconi & Springer #5: Functionals of Multidimensional Diffusions with Applications to Finance Cover

 

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Synopses & Reviews

Publisher Comments:

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.

Table of Contents

1 A Benchmark Approach to Risk Management.- 2 Functionals of Wiener Processes.- 3 Functionals of Squared Bessel Processes.- 4 Lie Symmetry Group Methods.- 5 Transition Densities via Lie Symmetry Methods.- 6 Exact and Almost Exact Simulation.- 7 Affine Diffusion Processes on the Euclidean Space.- 8 Pricing Using Affine Diffusions.- 9 Solvable Affine Processes on the Euclidean State Space.- 10 An Introduction to Matrix Variate Stochastics.- 11 Wishart Processes.- 12 Monte Carlo and Quasi-Monte Carlo Methods.- 13 Computational Tools.- 14 Credit Risk under the Benchmark Approach.- A Continuous Stochastic Processes.- B Time-Homogeneous Scalar Diffusions.- C Detecting Strict Local Martingales.

Product Details

ISBN:
9783319007465
Author:
Platen, Eckhard
Publisher:
Springer
Author:
Baldeaux, Jan
Subject:
Applied
Subject:
Benchmark approach
Subject:
Derivative pricing
Subject:
diffusions
Subject:
Functionals.
Subject:
lie symmetry methods
Subject:
Quantitative Finance
Subject:
financial economics
Subject:
APPLICATIONS OF MATHEMATICS
Subject:
Mathematics-Applied
Copyright:
Edition Description:
Book
Series:
Bocconi & Springer Series
Series Volume:
5
Publication Date:
20130906
Binding:
HARDCOVER
Language:
English
Pages:
464
Dimensions:
235 x 155 mm

Related Subjects

Business » Accounting and Finance
Science and Mathematics » Biology » Biophysics
Science and Mathematics » Materials Science » General
Science and Mathematics » Mathematics » Applied
Science and Mathematics » Mathematics » Econometrics
Science and Mathematics » Physics

Bocconi & Springer #5: Functionals of Multidimensional Diffusions with Applications to Finance New Hardcover
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Product details 464 pages Springer - English 9783319007465 Reviews:
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