Electronic Resource

Functionals of multidimensional diffusions with applications to finance

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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.​

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Ketersediaan

Informasi Detail

Judul Seri

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No. Panggil

E710

Penerbit

Swiss : Springer Cham., 2013

Deskripsi Fisik

xxiii, 425

Bahasa

English

ISBN/ISSN

9783319007472

Klasifikasi

NONE

Tipe Isi

text

Tipe Media

computer

Tipe Pembawa

online resource

Edisi

Ed.1

Subjek

Makroekonomi

Info Detail Spesifik

-

Pernyataan Tanggungjawab

Jan Baldeaux, Eckhard Platen

Versi lain/terkait

Lampiran Berkas

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