Functionals of Multidimensional Diffusions with Applications to Finance

Nonfiction, Science & Nature, Mathematics, Applied, Business & Finance, Economics, Macroeconomics
Cover of the book Functionals of Multidimensional Diffusions with Applications to Finance by Jan Baldeaux, Eckhard Platen, Springer International Publishing
View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart
Author: Jan Baldeaux, Eckhard Platen ISBN: 9783319007472
Publisher: Springer International Publishing Publication: August 13, 2013
Imprint: Springer Language: English
Author: Jan Baldeaux, Eckhard Platen
ISBN: 9783319007472
Publisher: Springer International Publishing
Publication: August 13, 2013
Imprint: Springer
Language: English

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.​

View on Amazon View on AbeBooks View on Kobo View on B.Depository View on eBay View on Walmart

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.​

More books from Springer International Publishing

Cover of the book The Design and Engineering of Curiosity by Jan Baldeaux, Eckhard Platen
Cover of the book Genetics and Genomics of Pineapple by Jan Baldeaux, Eckhard Platen
Cover of the book Multi-Parametric Live Cell Microscopy of 3D Tissue Models by Jan Baldeaux, Eckhard Platen
Cover of the book Tourism and Culture in the Age of Innovation by Jan Baldeaux, Eckhard Platen
Cover of the book Gottlieb and Whitehead Center Groups of Spheres, Projective and Moore Spaces by Jan Baldeaux, Eckhard Platen
Cover of the book Entertainment Computing – ICEC 2018 by Jan Baldeaux, Eckhard Platen
Cover of the book Debug Automation from Pre-Silicon to Post-Silicon by Jan Baldeaux, Eckhard Platen
Cover of the book Security, Privacy, and Applied Cryptography Engineering by Jan Baldeaux, Eckhard Platen
Cover of the book Climate Change and Storytelling by Jan Baldeaux, Eckhard Platen
Cover of the book IIW Guidelines on Weld Quality in Relationship to Fatigue Strength by Jan Baldeaux, Eckhard Platen
Cover of the book Advances in Internet, Data & Web Technologies by Jan Baldeaux, Eckhard Platen
Cover of the book Towards a Spin-Ensemble Quantum Memory for Superconducting Qubits by Jan Baldeaux, Eckhard Platen
Cover of the book Designing for a Digital and Globalized World by Jan Baldeaux, Eckhard Platen
Cover of the book Water-Conservation Traits to Increase Crop Yields in Water-deficit Environments by Jan Baldeaux, Eckhard Platen
Cover of the book Quantum Potential: Physics, Geometry and Algebra by Jan Baldeaux, Eckhard Platen
We use our own "cookies" and third party cookies to improve services and to see statistical information. By using this website, you agree to our Privacy Policy